Asymptotic behaviour of M-estimators in AR(p) models under nonstandard conditions
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/127962.
Date of creation: Mar 2001
Date of revision:
Publication status: Published in: Canadian journal of statistics (2001) v.29 nÂ° 1,p.155-168
Autoregression quantiles; Autoregressive model; Bootstrap; Limiting distribution; M-estimators;
Other versions of this item:
- Marc Hallin & Faouzi El Bantli, 2001. "Asymptotic behavior of M-estimators in AR(p) models under nonstandard conditions," ULB Institutional Repository 2013/2105, ULB -- Universite Libre de Bruxelles.
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- Jonathan Hill, 2006. "Asymptotically Nuisance-Parameter-Free Consistent Tests of Lp-Functional Form," Working Papers 0608, Florida International University, Department of Economics.
- Duchesne, Pierre, 2004. "On robust testing for conditional heteroscedasticity in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 46(2), pages 227-256, June.
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