Gaussian inference in general AR(1) models based on difference

DOI10.1111/jtsa.12031zbMath1277.62209OpenAlexW3122272952MaRDI QIDQ2864622

Jhih-Gang Chen, Biing-Shen Kuo

Publication date: 26 November 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12031

zbMATH Keywords

unit rootdifferenceAR model

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Asymptotics for linear processes
• UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
• GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
• UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST
• GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
• Large-sample inference in the general AR(1) model

This page was built for publication: Gaussian inference in general AR(1) models based on difference