Adaptive estimation of autoregressive models with time-varying variances

Xu, Ke-Li and Peter C. B. Phillips ()

Journal of Econometrics, 2008, vol. 142, issue 1, pages 265-280

Date: 2008
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Related works:
Working Paper: Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2006)
Working Paper: Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:econom:v:142:y:2008:i:1:p:265-280

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