The sample autocorrelation function of \(I(1)\) processes

DOI10.1007/BF02926395zbMath0803.62081MaRDI QIDQ1324971

Uwe Hassler

Publication date: 7 July 1994

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

functional central limit theoremtime seriesautocorrelationsautoregressive processesunit root testsAR(1) processesmoving average processessample autocorrelationsDickey-Fuller distributionautocorrelation estimators of higher lagsI(1) processesMA(1) processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

Related Items (2)

Sample autocorrelations of nonstationary fractionally integrated series ⋮ Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated

Cites Work

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• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Time Series Regression with a Unit Root
• The behaviour of the sample autocorrelation function for an integrated moving average process

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