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Adaptive estimation in time-series models
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Cited by:
- Bo Zhou, 2023. "Semiparametrically Optimal Cointegration Test," Papers 2305.08880, arXiv.org.
- Hallin, M. & van den Akker, R. & Werker, B.J.M., 2012.
"Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models,"
Other publications TiSEM
bc68a2f2-3ca3-443c-b3ac-f, Tilburg University, School of Economics and Management.
- Marc Hallin & Ramon van den Akker & Bas Werker, 2012. "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES ECARES 2012-042, ULB -- Universite Libre de Bruxelles.
- Hallin, M. & van den Akker, R. & Werker, B.J.M., 2012. "Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Discussion Paper 2012-089, Tilburg University, Center for Economic Research.
- Hallin, Marc & La Vecchia, Davide, 2020.
"A Simple R-estimation method for semiparametric duration models,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 736-749.
- Marc Hallin & Davide La Vecchia, 2017. "A Simple R-Estimation Method for Semiparametric Duration Models," Working Papers ECARES ECARES 2017-01, ULB -- Universite Libre de Bruxelles.
- Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel, 2009. "Combining parametric and nonparametric approaches for more efficient time series prediction," MPRA Paper 16893, University Library of Munich, Germany.
- Gabriele Fiorentini & Enrique Sentana, 2021.
"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Michael Jansson, 2008.
"Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis,"
Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, September.
- Michael Jansson, 2007. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers 2007-12, Department of Economics and Business Economics, Aarhus University.
- Dabo-Niang, Sophie & Francq, Christian & Zakoïan, Jean-Michel, 2010.
"Combining Nonparametric and Optimal Linear Time Series Predictions,"
Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1554-1565.
- Sophie DABO-NIANG & Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Combining Nonparametric and Optimal Linear Time Series Predictions," Working Papers 2009-18, Center for Research in Economics and Statistics.
- Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
- Feike C. Drost & Ramon van den Akker & Bas J. M. Werker, 2009. "Efficient estimation of auto‐regression parameters and innovation distributions for semiparametric integer‐valued AR(p) models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 467-485, April.
- Marc Hallin & Catherine Vermandele & Bas J. M. Werker, 2008.
"Semiparametrically efficient inference based on signs and ranks for median‐restricted models,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(2), pages 389-412, April.
- Hallin, M. & Vermandele, C. & Werker, B.J.M., 2004. "Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models," Other publications TiSEM 05757b2b-ad74-4583-b012-b, Tilburg University, School of Economics and Management.
- Hallin, M. & Vermandele, C. & Werker, B.J.M., 2004. "Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models," Discussion Paper 2004-11, Tilburg University, Center for Economic Research.
- W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
- Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
- Oliver Linton & Dajing Shang & Yang Yan, 2012.
"Efficient estimation of conditional risk measures in a semiparametric GARCH model,"
CeMMAP working papers
CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers 25/12, Institute for Fiscal Studies.
- HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
- Francq, Christian & Zakoian, Jean-Michel, 2024. "Finite moments testing in a general class of nonlinear time series models," MPRA Paper 121193, University Library of Munich, Germany.
- Drost, Feike C. & Klaassen, Chris A. J., 1997.
"Efficient estimation in semiparametric GARCH models,"
Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
- Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Discussion Paper 1996-38, Tilburg University, Center for Economic Research.
- Drost, F.C. & Klaassen, C.A.J., 1997. "Efficient estimation in semiparametric GARCH models," Other publications TiSEM c7de3f1c-c456-433e-a1c6-2, Tilburg University, School of Economics and Management.
- Marc Hallin & Bas Werker, 2003.
"Semiparametric efficiency, distribution-freeness, and invariance,"
ULB Institutional Repository
2013/2119, ULB -- Universite Libre de Bruxelles.
- Hallin, M. & Werker, B.J.M., 2003. "Semiparametric efficiency, distribution-freeness and invariance," Other publications TiSEM fe20db00-786a-4261-9999-6, Tilburg University, School of Economics and Management.
- Francq, Christian & Zakoïan, Jean-Michel, 2022.
"Testing the existence of moments for GARCH processes,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
- Francq, Christian & Zakoian, Jean-Michel, 2019. "Testing the existence of moments for GARCH processes," MPRA Paper 98892, University Library of Munich, Germany.
- repec:bgu:wpaper:0608 is not listed on IDEAS
- Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015.
"Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models,"
Other publications TiSEM
d1b040c9-db57-4e55-846f-4, Tilburg University, School of Economics and Management.
- Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
- repec:tiu:tiutis:6b90fe6f-4de9-4192-9f4d-99ae9220af75 is not listed on IDEAS
- Christian Francq & Jean-Michel Zakoian, 2013.
"Inference in Non Stationary Asymmetric Garch Models,"
Working Papers
2013-11, Center for Research in Economics and Statistics.
- Francq, Christian & Zakoian, Jean-Michel, 2013. "Inference in non stationary asymmetric garch models," MPRA Paper 44901, University Library of Munich, Germany.
- Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
- Francq, Christian & Zakoian, Jean-Michel, 2023.
"Local Asymptotic Normality Of General Conditionally Heteroskedastic And Score-Driven Time-Series Models,"
Econometric Theory, Cambridge University Press, vol. 39(5), pages 1067-1092, October.
- Francq, Christian & Zakoian, Jean-Michel, 2021. "Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models," MPRA Paper 106542, University Library of Munich, Germany.
- Christian Francq & Jean-Michel Zakoïan, 2022. "Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models," Working Papers 2022-06, Center for Research in Economics and Statistics.
- I. Gaia Becheri & Feike C. Drost & Bas J.M. Werker, 2016. "Asymptotic Inference for Jump Diffusions with State-Dependent Intensity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 520-542, June.
- Drost, Feike C & Werker, Bas J M, 2004.
"Semiparametric Duration Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 40-50, January.
- Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Discussion Paper 2001-11, Tilburg University, Center for Economic Research.
- Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Other publications TiSEM 845b71c6-9525-4006-a0df-4, Tilburg University, School of Economics and Management.
- Drost, F.C. & Werker, B.J.M., 2004. "Semiparametric duration models," Other publications TiSEM a1895e3e-f720-454b-9613-f, Tilburg University, School of Economics and Management.
- Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 93fe16c1-9f21-4dab-9b73-4, Tilburg University, School of Economics and Management.
- André Klein & Guy Mélard, 2004. "An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 627-648, September.
- Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020. "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers 2020-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Hafner, Christian M. & Preminger, Arie, 2009.
"Asymptotic Theory For A Factor Garch Model,"
Econometric Theory, Cambridge University Press, vol. 25(2), pages 336-363, April.
- HAFNER, Christian & PREMINGER, Arie, 2006. "Asymptotic theory for a factor GARCH model," LIDAM Discussion Papers CORE 2006071, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian M. & Rombouts, Jeroen V.K., 2007.
"Semiparametric Multivariate Volatility Models,"
Econometric Theory, Cambridge University Press, vol. 23(2), pages 251-280, April.
- Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Hallin, Marc & La Vecchia, Davide, 2017. "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, vol. 196(2), pages 233-247.
- La Vecchia, Davide & Camponovo, Lorenzo & Ferrari, Davide, 2015. "Robust heart rate variability analysis by generalized entropy minimization," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 137-151.
- Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.
- Francq, Christian & Zakoian, Jean-Michel, 2021. "Testing the existence of moments and estimating the tail index of augmented garch processes," MPRA Paper 110511, University Library of Munich, Germany.
- Gonzalez-Rivera, Gloria & Drost, Feike C., 1999.
"Efficiency comparisons of maximum-likelihood-based estimators in GARCH models,"
Journal of Econometrics, Elsevier, vol. 93(1), pages 93-111, November.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Other publications TiSEM d93a8be0-5dcd-4ae8-9eb1-b, Tilburg University, School of Economics and Management.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Other publications TiSEM 7a28bbc8-e8d6-4dbe-874e-5, Tilburg University, School of Economics and Management.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
- Marc Hallin & Abdeslam Serroukh, 1998.
"Adaptive Estimation of the Lag of a Long–memory Process,"
Statistical Inference for Stochastic Processes, Springer, vol. 1(2), pages 111-129, May.
- Marc Hallin & Abdeslam Serroukh, 1999. "Adaptive estimation of the lag of a long-memory process," ULB Institutional Repository 2013/2085, ULB -- Universite Libre de Bruxelles.
- Kristensen, Dennis, 2004.
"Estimation in two classes of semiparametric diffusion models,"
LSE Research Online Documents on Economics
24739, London School of Economics and Political Science, LSE Library.
- Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
- Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Other publications TiSEM 3da5ac9e-1f93-41b2-aaa0-5, Tilburg University, School of Economics and Management.
- Robinson, Peter, 2004. "Efficiency improvements in inference on stationary and nonstationary fractional time series," LSE Research Online Documents on Economics 2126, London School of Economics and Political Science, LSE Library.
- Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2011.
"A class of simple distribution-free rank-based unit root tests,"
Journal of Econometrics, Elsevier, vol. 163(2), pages 200-214, August.
- Marc Hallin & Ramon van den Akker & Bas J.M. Werker, 2011. "A class of simple distribution-free rank-based unit root tests," Post-Print hal-00834424, HAL.
- Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 9fe68e51-a026-4660-b6e7-8, Tilburg University, School of Economics and Management.
- repec:hal:journl:peer-00834424 is not listed on IDEAS
- André Klein & Guy Melard, 2004. "An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models," ULB Institutional Repository 2013/13746, ULB -- Universite Libre de Bruxelles.
- Gabriele Fiorentini & Enrique Sentana, 2007.
"On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models,"
Working Papers
wp2007_0713, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
- Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
- Hafner, Christian M. & Reznikova, Olga, 2010.
"Efficient estimation of a semiparametric dynamic copula model,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2609-2627, November.
- Hafner, Christian & Reznikova, Olga, 2010. "Efficient estimation of a semiparametric dynamic copula model," LIDAM Reprints ISBA 2010033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Anton Schick & Wolfgang Wefelmeyer, 2002. "Estimating the Innovation Distribution in Nonlinear Autoregressive Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 245-260, June.
- Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
- repec:bla:jecsur:v:22:y:2008:i:4:p:711-751 is not listed on IDEAS
- Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
- Shiqing Ling & Ke Zhu, 2022. "Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models," JRFM, MDPI, vol. 15(2), pages 1-17, February.
- Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series 480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Tata Subba Rao & Granville Tunnicliffe Wilson & P. M. Robinson & L. Taylor, 2017.
"Adaptive Estimation in Multiple Time Series With Independent Component Errors,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 191-203, March.
- Robinson, Peter & Taylor, Luke, 2017. "Adaptive estimation in multiple time series with independent component errors," LSE Research Online Documents on Economics 68345, London School of Economics and Political Science, LSE Library.
- Werker, Bas J M & Andreou, Elena, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
- Francq, Christian & Zakoïan, Jean-Michel, 2009.
"Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
- Christian Francq & Jean-Michel Zakoïan, 2008. "Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons," Working Papers 2008-04, Center for Research in Economics and Statistics.
- Francq, Christian & Zakoian, Jean-Michel, 2008. "Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons," MPRA Paper 16672, University Library of Munich, Germany.
- Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
- Francq, Christian & Zakoian, Jean-Michel, 2010. "Strict stationarity testing and estimation of explosive ARCH models," MPRA Paper 22414, University Library of Munich, Germany.
- repec:rim:rimwps:38-07 is not listed on IDEAS
- Marc Hallin & Davide La Vecchia, 2014. "Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models," Working Papers ECARES ECARES 2014-45, ULB -- Universite Libre de Bruxelles.
- Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011.
"A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72),"
Other publications TiSEM
004c9726-ec6a-4884-8238-d, Tilburg University, School of Economics and Management.
- Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011. "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Discussion Paper 2011-002, Tilburg University, Center for Economic Research.
- Zhou, Bo, 2024. "Semiparametrically optimal cointegration test," Journal of Econometrics, Elsevier, vol. 242(2).
- Ciccarelli Nicola, 2018. "Semiparametric efficient adaptive estimation of the GJR-GARCH model," Statistics & Risk Modeling, De Gruyter, vol. 35(3-4), pages 141-160, July.
- Yining Chen, 2015. "Semiparametric Time Series Models with Log-concave Innovations: Maximum Likelihood Estimation and its Consistency," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 1-31, March.
- Hwang, S. Y. & Kim, Tae Yoon, 2004. "Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure," Stochastic Processes and their Applications, Elsevier, vol. 110(2), pages 295-314, April.
- Ciccarelli, Nicola, 2016. "Semiparametric Efficient Adaptive Estimation of the PTTGARCH model," MPRA Paper 72021, University Library of Munich, Germany.
- Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2003-118, Tilburg University, Center for Economic Research.
- Sun, Yiguo & Stengos, Thanasis, 2006. "Semiparametric efficient adaptive estimation of asymmetric GARCH models," Journal of Econometrics, Elsevier, vol. 133(1), pages 373-386, July.