Matches in SemOpenAlex for { <https://semopenalex.org/work/W183760839> ?p ?o ?g. }
Showing items 1 to 94 of
94
with 100 items per page.
- W183760839 abstract "This paper develops the asymptotic theory for stable autoregressive models in which the noise grows in a polynomial-like fashion. It is shown that the asymptotic distribution of the OLS estimator of the coefficient vector is multivariate normal with a covariance matrix that depends on the order, k, of the growth. A consistent estimator of k is proposed, which delivers heteroscedasticity-robust test statistics. The opposite case of variance decline is studied as well. It is demonstrated that by means of a simple data transformation producing the time reversed image of the original series, the problem of variance decrease can be reformulated in terms of that of polynomial-like growth. Simulation evidence suggests that the new procedures work quite well in small samples." @default.
- W183760839 created "2016-06-24" @default.
- W183760839 creator A5008438011 @default.
- W183760839 creator A5087656031 @default.
- W183760839 date "2008-01-01" @default.
- W183760839 modified "2023-10-16" @default.
- W183760839 title "Estimation and Inference in Autoregressive Models with Trending Innovation Variance" @default.
- W183760839 cites W1510094644 @default.
- W183760839 cites W1968493287 @default.
- W183760839 cites W1970192323 @default.
- W183760839 cites W1975994995 @default.
- W183760839 cites W1994109378 @default.
- W183760839 cites W1998604293 @default.
- W183760839 cites W1998964122 @default.
- W183760839 cites W2000542972 @default.
- W183760839 cites W2002238002 @default.
- W183760839 cites W2011111930 @default.
- W183760839 cites W2019505791 @default.
- W183760839 cites W2019858642 @default.
- W183760839 cites W2022343937 @default.
- W183760839 cites W2029910124 @default.
- W183760839 cites W2030080040 @default.
- W183760839 cites W2044915205 @default.
- W183760839 cites W2047670349 @default.
- W183760839 cites W2048575689 @default.
- W183760839 cites W2049287603 @default.
- W183760839 cites W2051157494 @default.
- W183760839 cites W2062114817 @default.
- W183760839 cites W2071993552 @default.
- W183760839 cites W2073749196 @default.
- W183760839 cites W2081097989 @default.
- W183760839 cites W2090822538 @default.
- W183760839 cites W2091369032 @default.
- W183760839 cites W2105045605 @default.
- W183760839 cites W2108446661 @default.
- W183760839 cites W2108818539 @default.
- W183760839 cites W2112895268 @default.
- W183760839 cites W2117178635 @default.
- W183760839 cites W2124120883 @default.
- W183760839 cites W2128714331 @default.
- W183760839 cites W2156527659 @default.
- W183760839 cites W2321541861 @default.
- W183760839 cites W2375947209 @default.
- W183760839 cites W2496601513 @default.
- W183760839 cites W3023906401 @default.
- W183760839 doi "https://doi.org/10.2139/ssrn.1333125" @default.
- W183760839 hasPublicationYear "2008" @default.
- W183760839 type Work @default.
- W183760839 sameAs 183760839 @default.
- W183760839 citedByCount "1" @default.
- W183760839 crossrefType "journal-article" @default.
- W183760839 hasAuthorship W183760839A5008438011 @default.
- W183760839 hasAuthorship W183760839A5087656031 @default.
- W183760839 hasConcept C105795698 @default.
- W183760839 hasConcept C121955636 @default.
- W183760839 hasConcept C149782125 @default.
- W183760839 hasConcept C154945302 @default.
- W183760839 hasConcept C159877910 @default.
- W183760839 hasConcept C162324750 @default.
- W183760839 hasConcept C187736073 @default.
- W183760839 hasConcept C196083921 @default.
- W183760839 hasConcept C2776214188 @default.
- W183760839 hasConcept C33923547 @default.
- W183760839 hasConcept C41008148 @default.
- W183760839 hasConcept C96250715 @default.
- W183760839 hasConceptScore W183760839C105795698 @default.
- W183760839 hasConceptScore W183760839C121955636 @default.
- W183760839 hasConceptScore W183760839C149782125 @default.
- W183760839 hasConceptScore W183760839C154945302 @default.
- W183760839 hasConceptScore W183760839C159877910 @default.
- W183760839 hasConceptScore W183760839C162324750 @default.
- W183760839 hasConceptScore W183760839C187736073 @default.
- W183760839 hasConceptScore W183760839C196083921 @default.
- W183760839 hasConceptScore W183760839C2776214188 @default.
- W183760839 hasConceptScore W183760839C33923547 @default.
- W183760839 hasConceptScore W183760839C41008148 @default.
- W183760839 hasConceptScore W183760839C96250715 @default.
- W183760839 hasLocation W1837608391 @default.
- W183760839 hasOpenAccess W183760839 @default.
- W183760839 hasPrimaryLocation W1837608391 @default.
- W183760839 hasRelatedWork W1491694319 @default.
- W183760839 hasRelatedWork W1660493506 @default.
- W183760839 hasRelatedWork W2037533603 @default.
- W183760839 hasRelatedWork W2041984122 @default.
- W183760839 hasRelatedWork W2061606205 @default.
- W183760839 hasRelatedWork W2146281586 @default.
- W183760839 hasRelatedWork W2165602847 @default.
- W183760839 hasRelatedWork W2802054664 @default.
- W183760839 hasRelatedWork W3149538312 @default.
- W183760839 hasRelatedWork W640759462 @default.
- W183760839 isParatext "false" @default.
- W183760839 isRetracted "false" @default.
- W183760839 magId "183760839" @default.
- W183760839 workType "article" @default.