Local asymptotic distribution related to the AR(1) model with dependent errors

DOI10.1016/0304-4076(94)90023-XzbMath0806.62072OpenAlexW2001930004MaRDI QIDQ1329131

Pierre Perron, Seiji Nabeya

Publication date: 16 February 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90023-x

zbMATH Keywords

numerical integrationapproximationcharacteristic functionslimiting distributionsdependent errorsAR(1) processfinite sample distributionAR rootMA rootMA(1) processnearly integrated first-order autoregressive modelnormalized least squares estimatorseasonal models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistical tables (62Q05)

Related Items

A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION, Testing stationarity and trend stationarity against the unit root hypothesis, Estimation and inference in nearly unbalanced nearly cointegrated systems, Local power functions of tests for double unit roots, The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors, Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1), Moderate deviations for the mildly stationary autoregressive model with dependent errors, Testing for stationarity in series with a shift in the mean. A Fredholm approach, Linear process bootstrap unit root test, Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors, Cointegration testing under structural change: reducing size distortions and improving power of residual based tests, Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process, On the Robustness of Unit Root Tests in the Presence of Double Unit Roots, Cointegration in high frequency data, Extreme Spectra of Var Models and Orders of Near‐Cointegration, On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank, Local Asymptotic Distributions of Stationarity Tests, Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR), A look at the quality of the approximation of the functional central limit theorem, The fragility of the KPSS stationarity test

Cites Work

• Unnamed Item
• Limiting power of unit-root tests in time-series regression
• A functional central limit theorem for weakly dependent sequences of random variables
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors
• A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
• ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
• Testing for a unit root in time series regression
• Towards a unified asymptotic theory for autoregression
• The Parameter Inference for Nearly Nonstationary Time Series
• The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
• On the nearly nonstationary seasonal time series
• Testing for Unit Roots in Seasonal Time Series
• Computing the distribution of quadratic forms in normal variables