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

DOI10.2307/2938338zbMath0724.62088OpenAlexW2074458578MaRDI QIDQ3212161

Katsuto Tanaka, Seiji Nabeya

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 equationcharacteristic functionFredholm determinantlimiting distributionlocal alternativesunit root teststime series regression modelnonstable autoregressive processpercent 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

This page was built for publication: A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors