On the sieve M-estimation for a special bilinear time series model with time-functional variance noises-Reference-Cited by-同舟云学术

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On the sieve M-estimation for a special bilinear time series model with time-functional variance noises

Published:2024-06-05 Issue: Volume: Page:1-25
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Zhu Enwen¹,Deng Ziwei¹,Liu Xiaohui²,Liang Zhao¹

Affiliation:

1. School of Mathematics and Statistics, Changsha University of Science & Technology, Changsha, China

2. Key Laboratory of Data Science in Finance and Economics, and School of Statistics and Data Science, Jiangxi University of Finance and Economics, Nanchang, China

Funder

National Natural Science Foundation of China

National Science Fund for Distinguished Young Scholars

National Social Science Fund of China

Outstanding Youth Fund Project of the Science and Technology Department of Jiangxi Province

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2024.2358846

Reference36 articles.

1. Amemiya, T. 1985. Advanced econometrics. Cambridge: Harvard University Press.

2. On the Covariance Structure of Time Varying Bilinear Models

3. Generalized autoregressive conditional heteroskedasticity

4. Model Selection and Inference

5. Unit Root Tests under Time-Varying Variances

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