A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors

DOI10.2307/2938338zbMath0724.62088OpenAlexW2074458578MaRDI QIDQ3212161

Publication date: 1990

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938338

zbMATH Keywords

integral equation characteristic function Fredholm determinant limiting distribution local alternatives unit root tests time series regression model nonstable autoregressive process percent points

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (12)

Size and power of tests of stationarity in highly autocorrelated time series ⋮ Local asymptotic distribution related to the AR(1) model with dependent errors ⋮ DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL ⋮ The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors ⋮ Structural change and unit roots ⋮ ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS ⋮ Near-integration and deterministic trends ⋮ Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors ⋮ Testing for stationarity in series with a shift in the mean. A Fredholm approach ⋮ \(L_p\)-approximable sequences of vectors and limit distribution of quadratic forms of random variables ⋮ Limiting power of unit-root tests in time-series regression ⋮ The asymptotic size and power of the augmented Dickey–Fuller test for a unit root

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