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Partially adaptive estimation of ARMA time series models

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  • McDonald, James B.

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  • McDonald, James B., 1989. "Partially adaptive estimation of ARMA time series models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 217-230.
    • Handle: RePEc:eee:intfor:v:5:y:1989:i:2:p:217-230
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    Cited by:

    1. James B. McDonald & Hieu Nguyen, 2012. "Heteroskedasticity and Distributional Assumptions in the Censored Regression Model," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-09, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    2. Ximing Wu & Thanasis Stengos, 2005. "Partially adaptive estimation via the maximum entropy densities," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 352-366, December.
    3. Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(2), pages 99-128, May.
    4. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
    5. Theodossiou, Panayiotis & McDonald, James B. & Hansen, Christian B., 2007. "Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 1, pages 1-20.
    6. Yiguo Sun & Thanasis Stengos, 2008. "The absolute health income hypothesis revisited: a semiparametric quantile regression approach," Empirical Economics, Springer, vol. 35(2), pages 395-412, September.
    7. Ramirez, Octavio A. & Fadiga, Mohamadou L., 2003. "Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(1), pages 1-15, April.
    8. Usta, Ilhan & Kantar, Yeliz Mert, 2011. "On the performance of the flexible maximum entropy distributions within partially adaptive estimation," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2172-2182, June.
    9. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
    10. Uchenna Chinedu Nduka, 2022. "Efficient and robust estimation for autoregressive regression models using shape mixtures of skewt normal distribution," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1519-1551, September.
    11. Ramirez, Octavio A. & Sosa, Romeo, 2000. "Risk Analysis Under Correlated, Non-Normal Price And Yield Probability Distributions," 2000 Annual meeting, July 30-August 2, Tampa, FL 21888, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    12. Ramirez, Octavio A. & Somarriba, Eduardo, 2000. "Risk And Returns Of Diversified Cropping Systems Under Nonnormal, Cross-, And Autocorrelated Commodity Price Structures," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 25(2), pages 1-16, December.
    13. James B. McDonald & Richard A. Michelfelder & Panayiotis Theodossiou, 2009. "Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application," Multinational Finance Journal, Multinational Finance Journal, vol. 13(3-4), pages 293-321, September.
    14. Grottke, Martin, 1999. "Generierung schiefer Verteilungen mittels Skalenparametersplittung," Discussion Papers 30/1999, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
    15. Ramirez, Octavio A. & Somarriba, Eduardo, 1999. "Joint Modeling And Simulation Of Autocorrelated Non-Normal Time Series: An Application To Risk And Return Analysis," 1999 Annual meeting, August 8-11, Nashville, TN 21564, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    16. Ramirez, Octavio A., 2001. "Autoregressive Conditional Heteroskedasticy Under Error-Term Non-Normality," 2001 Annual meeting, August 5-8, Chicago, IL 20595, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    17. Ramirez, Octavio A. & Misra, Sukant K. & Nelson, Jeannie, 2002. "Estimation Of Efficient Regression Models For Applied Agricultural Economics Research," 2002 Annual meeting, July 28-31, Long Beach, CA 19904, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    18. Bönte, G., 1995. "Evaluierung adaptiver Hochrechnungsverfahren," Discussion Papers 05/1995, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
    19. Ramirez, Octavio A. & Sosa, Romeo, 2000. "Assessing The Financial Risks Of Diversified Coffee Production Systems: An Alternative Nonnormal Cdf Estimation Approach," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 25(1), pages 1-19, July.

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