Asymptotic approximations in the near‐integrated model with a non‐zero initial condition

DOI10.1111/1368-423X.00060zbMath1029.62016OpenAlexW2234399507MaRDI QIDQ2772845

Cosme Vodounou, Pierre Perron

Publication date: 4 February 2004

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

Full work available at URL: https://doi.org/10.1111/1368-423x.00060

zbMATH Keywords

stochastic expansionautoregressive modelEdgeworth expansioncontinuous-time asymptotics

Mathematics Subject Classification ID

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

Related Items (1)

Size and power of tests of stationarity in highly autocorrelated time series

This page was built for publication: Asymptotic approximations in the near‐integrated model with a non‐zero initial condition