S-estimation in the nonlinear regression model with long-memory error terms
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References listed on IDEAS
- Sakata, Shinichi & White, Halbert, 2001. "S-estimation of nonlinear regression models with dependent and heterogeneous observations," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 5-72, July.
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Cited by:
- Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
- Arie Preminger & Shinichi Sakata, 2007.
"A model selection method for S-estimation,"
Econometrics Journal, Royal Economic Society, vol. 10(2), pages 294-319, July.
- PREMINGER, Arie & SAKATA, Shinichi, 2005. "A model selection method for S-estimation," LIDAM Discussion Papers CORE 2005073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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Keywords
Nonlinear regression model; long - range dependence; robustness;All these keywords.
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