The limiting distribution of the least‐squares estimator in nearly integrated seasonal models

DOI10.2307/3315463zbMath0753.62061OpenAlexW2087182297MaRDI QIDQ4021166

Pierre Perron

Publication date: 17 January 1993

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315463

zbMATH Keywords

asymptotic distributionnumerical integrationleast-squares estimatorautoregressive parameterclosed-form expressionpercentage pointsfinite-sample distributionstochastic asymptotic expansionlimiting joint moment generating functionnearly integrated seasonal model

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) Statistical tables (62Q05)

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Local asymptotic distribution related to the AR(1) model with dependent errors, Parameter inference for time series with regular and seasonal unit roots, ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL

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