Least absolute deviation estimation for all-pass time series models

By Richard A. Davis. 2001

113 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a2d3f53be14366a9027c2eb7ab4875b11a41301f

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Citations in the corpus

NONCAUSAL VECTOR AUTOREGRESSION (2013, unknown): “An empirical illustration of the capability of a univariate noncausal autoregressive model to allow for features typically modeled by a GARCH model is provided by Breidt, Davis, and Trindade (2001).”
Optimal Forecasting of Noncausal Autoregressive Time Series (2012, unknown): “Following Breidt et al. (1991), Lanne and Saikkonen (2008) suggest selecting among these the model that produces the greatest value of the approximate likelihood function.”
A New Test of the Martingale Difference Hypothesis (2004, background): “With non-Gaussian innovations, this is a linear process exhibiting a nonlinear pattern (i.e., volatility clustering); for more discussion on the all-pass process, we refer to Breidt et al. (2000).”
A bootstrap-assisted spectral test of white noise under unknown dependence (2011, methodology): “Examples include all-pass ARMA models (Breidt et al., 2001), certain forms of bilinear models (Granger and Anderson, 1978) and nonlinear moving average models (Granger and Teräsvirta, 1993); see Lobato et al. (2002).”
Laplace Periodogram for Time Series Analysis (2008, background): “Statistical properties of LAD estimators have been studied intensively in the context of linear and nonlinear regression (Bloomfield and Steiger 1983; Breidt, Davis, and Trindate 2001; Dodge 1997, 2002; Dielman 2005; Koenker 2005; Lai and Lee 2005).”
Maximum likelihood estimation for α-stable autoregressive processes (2009, background): “MR1096665 [5] Breidt, F. J., Davis, R. A. and Trindade, A. A. (2001).”
GARCH Models (2010, unknown): “For a less comprehensive presentation, see Chan (1990), Tjøstheim (1990) and Tweedie (1998). For survey papers on mixing conditions, see Bradley (1986, 2005).”
Maximum likelihood estimation for all-pass time series models (2006, methodology): “(9) (Breidt, Davis, and Trindade [6] contains an error in the calculation of the asymptotic variance; see Andrews [1] for the correction.”
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors (2007, background): “A particularly interesting class of weak ARMA models is given by the linear models with all-pass noises, as considered by Breidt et al. (2001). These examples concern mainly univariate series, but can be extended to the multivariate case.”
Noncausal Autoregressions for Economic Time Series (2010, unknown): “Empirical economic examples of related models with a noninvertible moving average part are given in Huang and Pawitan (2000) and Breidt et al. (2001).”
Multiple Local Whittle Estimation in Stationary Systems (2008, background): “Reference [27] pointed out that cointegration is possible even when zt is stationary with long memory, as might be true of certain financial time series, say, and a number of references (e.g., [6, 23, 24]) have developed theory and applications in this setting.”