Regression with integrated regressors

DOI10.1016/S0378-3758(97)00042-6zbMath0914.62068OpenAlexW2072646699MaRDI QIDQ1378823

Dong Wan Shin, Sahadeb Sarkar

Publication date: 9 February 1998

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

Full work available at URL: https://doi.org/10.1016/s0378-3758(97)00042-6

zbMATH Keywords

Brownian motionlimiting distributionnonstationary time seriesintegrated regressors

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

M‐Estimation for regressions with integrated regressors and arma errors

Cites Work

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