GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT

DOI10.1017/S0266466608080262zbMath1284.62569MaRDI QIDQ3632394

Peter C. B. Phillips, Chirok Han

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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Cites Work

• Asymptotics for linear processes
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Stochastic Limit Theory
• Large-sample inference in the general AR(1) model