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Adaptive estimates for autoregressive processes

Author

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  • Rudolf Beran
Abstract
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Suggested Citation

  • Rudolf Beran, 1976. "Adaptive estimates for autoregressive processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 28(1), pages 77-89, December.
    • Handle: RePEc:spr:aistmt:v:28:y:1976:i:1:p:77-89
    DOI: 10.1007/BF02504731
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    Citations

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    Cited by:

    1. Potscher, Benedikt M., 1995. "Comment on 'Adaptive estimation in time series regression models' by D.G. Steigerwald," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 123-129.
    2. Robinson, P.M., 2010. "Efficient estimation of the semiparametric spatial autoregressive model," Journal of Econometrics, Elsevier, vol. 157(1), pages 6-17, July.
    3. Peter Robinson, 2006. "Efficient estimation of the semiparametric spatial autoregressive model," CeMMAP working papers CWP08/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. 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.
    5. Gupta, A, 2015. "Nonparametric specification testing via the trinity of tests," Economics Discussion Papers 15619, University of Essex, Department of Economics.
    6. Helmut Rieder & Matthias Kohl & Peter Ruckdeschel, 2008. "The cost of not knowing the radius," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 17(1), pages 13-40, February.
    7. Lee, Jungyoon & Robinson, Peter M., 2020. "Adaptive inference on pure spatial models," Journal of Econometrics, Elsevier, vol. 216(2), pages 375-393.
    8. Peter M Robinson, 2009. "Developments in the Analysis of Spatial Data," STICERD - Econometrics Paper Series 531, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    9. 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.
    10. 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.
    11. Meintanis, S. G. & Donatos, G. S., 1999. "Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers," Computational Statistics & Data Analysis, Elsevier, vol. 31(3), pages 323-339, September.
    12. 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.
    13. Haoying Wang, 2018. "Pricing used books on Amazon.com: a spatial approach to price dispersion," Spatial Economic Analysis, Taylor & Francis Journals, vol. 13(1), pages 99-117, January.
    14. Gupta, Abhimanyu, 2018. "Nonparametric specification testing via the trinity of tests," Journal of Econometrics, Elsevier, vol. 203(1), pages 169-185.
    15. Peter M Robinson, 2007. "Efficient Estimation of the SemiparametricSpatial Autoregressive Model," STICERD - Econometrics Paper Series 515, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    16. Robinson, Peter, 2008. "Developments in the analysis of spatial data," LSE Research Online Documents on Economics 25473, London School of Economics and Political Science, LSE Library.
    17. repec:esx:essedp:774 is not listed on IDEAS
    18. Robinson, Peter M., 2007. "Efficient estimation of the semiparametric spatial autoregressive model," LSE Research Online Documents on Economics 4535, London School of Economics and Political Science, LSE Library.

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