Adjusted estimates and Wald statistics for the AR(1) model with constant

DOI10.1016/S0304-4076(00)00023-3zbMath0968.62065WikidataQ127676276 ScholiaQ127676276MaRDI QIDQ1586553

Pekka Pere

Publication date: 17 September 2001

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

zbMATH Keywords

unit rootAR(1) modeladjusted profile likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

Bahadur representations of M-estimators and their applications in general linear models ⋮ The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators ⋮ AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD ⋮ Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses ⋮ Quasi-maximum likelihood estimators in generalized linear models with autoregressive processes ⋮ QML estimators in linear regression models with functional coefficient autoregressive processes ⋮ Asymptotic normality of Huber-Dutter estimators in a linear EV model with AR(1) processes

Uses Software

• GAUSS

Cites Work

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