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Weighted Least Absolute Deviations Estimation For Arma Models With Infinite Variance

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  • Pan, Jiazhu
  • Wang, Hui
  • Yao, Qiwei

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  • Pan, Jiazhu & Wang, Hui & Yao, Qiwei, 2007. "Weighted Least Absolute Deviations Estimation For Arma Models With Infinite Variance," Econometric Theory, Cambridge University Press, vol. 23(05), pages 852-879, October.
  • Handle: RePEc:cup:etheor:v:23:y:2007:i:05:p:852-879_07
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    Cited by:

    1. Pan, Jiazhu & Wang, Hui & Tong, Howell, 2008. "Estimation and tests for power-transformed and threshold GARCH models," Journal of Econometrics, Elsevier, vol. 142(1), pages 352-378, January.
    2. Rongning Wu & Richard A. Davis, 2010. "Least absolute deviation estimation for general autoregressive moving average time-series models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 98-112, March.
    3. Li, Jinyu & Liang, Wei & He, Shuyuan, 2011. "Empirical likelihood for LAD estimators in infinite variance ARMA models," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 212-219, February.
    4. Xinghui Wang & Shuhe Hu, 2017. "Asymptotics of self-weighted M-estimators for autoregressive models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 83-92, January.
    5. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org.
    6. Zhu, Ke & Ling, Shiqing, 2013. "Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models," MPRA Paper 51509, University Library of Munich, Germany.
    7. repec:spr:sistpr:v:20:y:2017:i:3:d:10.1007_s11203-017-9159-3 is not listed on IDEAS
    8. Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.
    9. Yining Chen, 2015. "Semiparametric Time Series Models with Log-concave Innovations: Maximum Likelihood Estimation and its Consistency," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 1-31, March.

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