The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors

DOI10.1016/0304-4076(94)01657-7zbMath0834.62021OpenAlexW2149231652MaRDI QIDQ1907605

Pierre Perron

Publication date: 8 April 1996

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

Full work available at URL: http://hdl.handle.net/1866/2055

zbMATH Keywords

numerical integrationasymptotic expansionsimulation studyunit root processdependent errorsAR(1) errorsfunctional weak convergenceMA(1) errorsnearly integrated first-order autoregressive modelnormalized least squares estimatorautoregressive moving- average modelslimiting moment generating function

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)

Related Items

Local asymptotic distribution related to the AR(1) model with dependent errors, Estimation and inference in nearly unbalanced nearly cointegrated systems, The limiting distribution of the least‐squares estimator in nearly integrated seasonal models, Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors, Practical small sample inference for single lag subset autoregressive models, TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR, Verification of the mathematical model of a multidimensional dynamic system for adequacy based on the spectral norm of a residual matrix, Extreme Spectra of Var Models and Orders of Near‐Cointegration, A look at the quality of the approximation of the functional central limit theorem

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