scientific article

zbMath1165.62061MaRDI QIDQ3608194

Patrik Guggenberger, Donald W. K. Andrews

Publication date: 28 February 2009

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

autoregressive modelstationary very nearly unit root process

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 (8)

LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS ⋮ Perpetual learning and apparent long memory ⋮ ASYMPTOTIC INFERENCES FOR AN AR(1) MODEL WITH A CHANGE POINT: STATIONARY AND NEARLY NON-STATIONARY CASES ⋮ Least absolute deviation estimation for AR(1) processes with roots close to unity ⋮ Inference on stochastic time-varying coefficient models ⋮ Least Squares Bias in Time Series with Moderate Deviations from a Unit Root ⋮ Asymptotic Theory and Unified Confidence Region for an Autoregressive Model ⋮ Pooled Panel Unit Root Tests and the Effect of Past Initialization

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