On the nearly nonstationary seasonal time series

DOI10.2307/3315523zbMath0685.62067OpenAlexW2011197919MaRDI QIDQ4203660

Ngai Hang Chan

Publication date: 1989

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

Full work available at URL: https://doi.org/10.2307/3315523

zbMATH Keywords

unit circleleast squarescharacteristic rootsseasonal adjustmentBrownian motionsseasonal time seriesseasonal differencingdouble- array settingfunctionals of independent diffusion processesnear-nonstationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Local asymptotic distribution related to the AR(1) model with dependent errors ⋮ Parameter inference for time series with regular and seasonal unit roots ⋮ Practical small sample inference for single lag subset autoregressive models ⋮ On time series with randomized unit root and randomized seasonal unit root ⋮ ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL

Cites Work

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• Testing the autoregressive parameter with the t statistic
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for Unit Roots: 2
• Some exact results on the sample autocovariances of a seasonal ARIMA model
• Towards a unified asymptotic theory for autoregression
• The Parameter Inference for Nearly Nonstationary Time Series
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• Testing for Unit Roots in Seasonal Time Series

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