A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE

DOI10.1111/j.1467-9892.1987.tb00417.xzbMath0618.62087OpenAlexW1969768851MaRDI QIDQ4728066

George C. Tiao, Juha Ahtola

Publication date: 1987

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00417.x

zbMATH Keywords

autoregressive modelsresidualsroots on the unit circleordinary least squares regressionAR(p) modelConsistent and asymptotically normal estimatespurely nonstationary modelspurely stationary models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Estimating a generalized long memory process ⋮ Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series ⋮ On Augmented Franses Tests for Seasonal Unit Roots

Cites Work

• Unnamed Item
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Estimation for autoregressive processes with unit roots
• Testing for Unit Roots in Seasonal Time Series

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