Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models

Abdelhakim Aknouche and Christian Francq ()
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Abdelhakim Aknouche: Qassim University [Kingdom of Saudi Arabia]
Christian Francq: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - GENES - Groupe des Écoles Nationales d'Économie et Statistique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - GENES - Groupe des Écoles Nationales d'Économie et Statistique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, IP Paris - Institut Polytechnique de Paris

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Date: 2023-12
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Published in Journal of Econometrics, 2023, 237 (2), pp.105174. ⟨10.1016/j.jeconom.2021.09.002⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417229

DOI: 10.1016/j.jeconom.2021.09.002

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