Asymptotic normality of the instrumental variable estimates for ARIMA(\(p,m,q\)) processes

DOI10.1016/0165-1765(92)90214-JzbMath0769.62064OpenAlexW2054569209MaRDI QIDQ1801818

Yanyan Li

Publication date: 30 August 1993

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(92)90214-j

zbMATH Keywords

asymptotic normalitymartingale difference sequencesinstrumental variable estimatesuntransformed \(\text{ARIMA}(p,m,q)\) processesWald test on AR coefficients

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Fast projection methods for minimal design problems in linear system theory
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Towards a unified asymptotic theory for autoregression
• Testing for a unit root in the presence of moving average errors

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