A Double AR(p) Model: Structure and Estimation

By S. Ling. 2007

100 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (2011, unknown): “The moment conditions imposed on the derivatives of h∗t in Assumption N4(ii) are satisfied when the i.i.d. assumption holds and the conditional mean is modeled by a linear function and conditional variance by a standard linear GARCH(1,1) model (see Francq and Zakoı̈an, 2004; Ling, 2007).”
Asymptotic inference for a nonstationary double AR(1) model (2008, methodology): “This is the idea used by Ling (2007a) for the stationarity condition of the higher-order dar model.”
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES (2017, methodology): “This representation is actually closer to the Double Autoregressive model studied by Ling (2007) (see also Nielsen and Rahbek (2014) for a multivariate extension).”
Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity (2008, methodology): “Note that the proof in Ling & Li (1997) only needs the conditions E(e4) < oo and E(u4) < oo, and hence A”