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  • Search: subject:"AR(p) Model"
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Year of publication
Subject
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AR(p) Model 1 AR(p) model 1 Bootstrap Method 1 Bootstrap method 1 Buffered AR(p) model 1 Exogenous Variables 1 Likelihood ratio test 1 Marked empirical process 1 Nonnormal Error 1 OLSE 1 Threshold AR(p) model 1 Unbiased Estimator 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Language
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Undetermined 2
Author
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Hamori, Shigeyuki 1 Li, Wai Keung 1 Matsubayashi, Yoichi 1 Tanizaki, Hisashi 1 Yu, Philip L.H. 1 Zhu, Ke 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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MPRA Paper 1 Statistical Papers / Springer 1
Source
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RePEc 2
Showing 1 - 2 of 2
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Testing for the buffered autoregressive processes
Zhu, Ke; Yu, Philip L.H.; Li, Wai Keung - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates a quasi-likelihood ratio (LR) test for the thresholds in buffered autoregressive processes. Under the null hypothesis of no threshold, the LR test statistic converges to a function of a centered Gaussian process. Under local alternatives, this LR test has nontrivial...
Persistent link: https://www.econbiz.de/10011110083
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Cover Image
On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods
Tanizaki, Hisashi; Hamori, Shigeyuki; Matsubayashi, Yoichi - In: Statistical Papers 47 (2006) 1, pp. 109-124
Persistent link: https://www.econbiz.de/10008533894
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