Asymptotic inference for unstable auto-regressive time series with drifts

DOI10.1016/0378-3758(89)90074-8zbMath0685.62068OpenAlexW1992568939MaRDI QIDQ1262060

Ngai Hang Chan

Publication date: 1989

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(89)90074-8

zbMATH Keywords

distributionasymptotic normalitycharacteristic rootsBrownian motionsasymptotic inferenceleast squares estimatesconstant nonzero driftsdegenerate non-normalperiodic driftsunit root time seriesunstable autoregressive time series with drifts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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