QML estimators in linear regression models with functional coefficient autoregressive processes.
Hu, Hongchang (2010)
Mathematical Problems in Engineering
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Displaying similar documents to “The failure of orthogonality under nonstationarity: should we care about it?”
QML estimators in linear regression models with functional coefficient autoregressive processes.
Spurious regression.
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Asymptotic separation in bilinear models.
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The effects of series on cointegration inference.
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Petr Zvára (2004)
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A non-linear AR(1) process is investigated when the associated white noise is positive. A criterion is derived for the geometric ergodicity of the process. Some explicit formulas are derived for one and two steps ahead extrapolation. Influence of parameter estimation on extrapolation is studied.
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Martins, C.M. (1999)
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