Estimation for autoregressive processes with unit roots

DOI10.1214/aos/1176344793zbMath0419.62068OpenAlexW1999063058MaRDI QIDQ1132485

Wayne A. Fuller, David P. Hasza

Publication date: 1979

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176344793

zbMATH Keywords

time seriesMonte Carlo methodautoregressive processesleast squares estimatorunit rootsleast squares regressionteststochastic difference equationtime trendestimated percentilesintercept termsnon stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

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