Regression Theory for Near-Integrated Time Series (Q4711625)
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scientific article; zbMATH DE number 2890
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regression Theory for Near-Integrated Time Series |
scientific article; zbMATH DE number 2890 |
Statements
Regression Theory for Near-Integrated Time Series (English)
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25 June 1992
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Pitman approach
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strongly mixing innovations
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near integrated processes
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asymptotic theory
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multiple discrete-time stochastic processes
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ARIMA processes
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stationary ARMA processes
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mildly explosive processes
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local alternatives
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unit roots
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vector autoregression
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convergence properties
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sample moments
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least squares estimates
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noncentral distributions of multivariate tests for unit roots
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models with drift
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time series regressions
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