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Comment on 'Adaptive estimation in time series regression models' by D.G. Steigerwald

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  • Potscher, Benedikt M.

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  • 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.
    • Handle: RePEc:eee:econom:v:66:y:1995:i:1-2:p:123-129
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    References listed on IDEAS

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    1. 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.
    2. Steigerwald, Douglas G., 1992. "Adaptive estimation in time series regression models," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 251-275.
    3. Pötscher, B.M., 1991. "Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models," Econometric Theory, Cambridge University Press, vol. 7(4), pages 435-449, December.
    4. B. Pötscher, 1985. "The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 32(1), pages 129-150, December.
    5. Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(2), pages 163-185, June.
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    Cited by:

    1. Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1994. "Adaptive estimation in time-series models," Discussion Paper 1994-88, Tilburg University, Center for Economic Research.
    2. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    3. Steigerwald, Douglas G., 1995. "Reply to B.M. Potscher's comment on 'adaptive estimation in time series regression models'," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 131-132.

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