Parameter inference for time series with regular and seasonal unit roots

DOI10.1080/03610929408831282zbMath0825.62119OpenAlexW2021003890MaRDI QIDQ4843756

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Publication date: 17 August 1995

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929408831282

zbMATH Keywords

Brownian motionstable lawsLévy processOrnstein- Uhlenbeck processGauss-Newton procedureregular and seasonal unit roots

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Testing for unit roots in autoregressive-moving average models of unknown order
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• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• The invariance principle for ϕ-mixing sequences
• Some Lagrange multiplier tests for seasonal differencing
• The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
• Autoregressive processes with infinite variance
• On the nearly nonstationary seasonal time series
• Time Series Regression with a Unit Root
• Testing for Unit Roots in Seasonal Time Series
• Inference for Near-Integrated Time Series With Infinite Variance

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