Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
Work
Year: 2022
Type: article
Abstract: In this article, we consider estimating the innovation variance function when the conditional mean model is characterised by a structural break autoregressive model, which exhibits multiple unit root,... more
Source: Journal of Time Series Analysis
Institution University of Nottingham
Cites: 27
Cited by: 6
Related to: 10
FWCI: 0.762
Citation percentile (by year/subfield): 87.61
Subfield: Economics and Econometrics
Domain: Social Sciences
Sustainable Development Goal Industry, innovation and infrastructure
Open Access status: hybrid
APC paid (est): $4,020