Second-Order Least Squares Estimation in Nonlinear Time Series Models with ARCH Errors
Many financial and economic time series exhibit nonlinear patterns or relationships. However, most statistical methods for time series analysis are developed for mean-stationary processes that require transformation, such as differencing of the data. In this paper, we study a dynamic regression mode...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-11-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/9/4/41 |