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Adaptive Estimation Of Autoregressive Models With Time-Varying Variances, Ke-Li Xu, Peter C.B. Phillips
Adaptive Estimation Of Autoregressive Models With Time-Varying Variances, Ke-Li Xu, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Stable autoregressive models of known finite order are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution or combinations of the two. This paper develops kernel-based estimators of the residual variances and associated adaptive least squares (ALS) estimators of the autoregressive coefficients. These are shown to be asymptotically efficient, having the same limit distribution as the infeasible generalized …
Adaptive Estimation Of Autoregressive Models With Time-Varying Variances, Ke-Li Xu, Peter C.B. Phillips
Adaptive Estimation Of Autoregressive Models With Time-Varying Variances, Ke-Li Xu, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Stable autoregressive models of known finite order are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution or combinations of the two. This paper develops kernel-based estimators of the residual variances and associated adaptive least squares (ALS) estimators of the autoregressive coefficients. These are shown to be asymptotically efficient, having the same limit distribution as the infeasible generalized …