Least squares and stochastic difference equations

DOI10.1016/0304-4076(76)90025-7zbMath0355.62089OpenAlexW2005761429MaRDI QIDQ1237343

Bernt P. Stigum

Publication date: 1976

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.kellogg.northwestern.edu/research/math/papers/65.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic analysis (60H99) Statistical distribution theory (62E99)

Cites Work

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• Asymptotic properties of dynamic stochastic parameter estimates. III
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Consistency and Limit Distributions of Estimators of Parameters in Explosive Stochastic Difference Equations
• On the Statistical Treatment of Linear Stochastic Difference Equations