On Mixture Double Autoregressive Time Series Models
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DOI: 10.1080/07350015.2015.1102735
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References listed on IDEAS
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- Kai Yang & Qingqing Zhang & Xinyang Yu & Xiaogang Dong, 2023. "Bayesian inference for a mixture double autoregressive model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(2), pages 188-207, May.
- Zhu, Huafeng & Zhang, Xingfa & Liang, Xin & Li, Yuan, 2017. "On a vector double autoregressive model," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 86-95.
- Li, Dong & Tao, Yuxin & Yang, Yaxing & Zhang, Rongmao, 2023. "Maximum likelihood estimation for α-stable double autoregressive models," Journal of Econometrics, Elsevier, vol. 236(1).
- Wei, Honglei & Zhang, Hongfan & Jiang, Hui & Huang, Lei, 2022. "On the semi-varying coefficient dynamic panel data model with autocorrelated errors," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
- Guo, Shaojun & Li, Dong & Li, Muyi, 2019. "Strict stationarity testing and GLAD estimation of double autoregressive models," Journal of Econometrics, Elsevier, vol. 211(2), pages 319-337.
- Huan Gong & Dong Li, 2020. "On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 883-891, November.
- Songhua Tan & Qianqian Zhu, 2022. "Asymmetric linear double autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 371-388, May.
- Blasques, Francisco & van Brummelen, Janneke & Gorgi, Paolo & Koopman, Siem Jan, 2024. "Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions," Journal of Econometrics, Elsevier, vol. 238(1).
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