Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors

DOI10.1080/07474939508800330zbMath0838.62083OpenAlexW1549301334MaRDI QIDQ4860428

Pierre Perron, Seiji Nabeya

Publication date: 6 June 1996

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

Full work available at URL: https://doi.org/10.1080/07474939508800330

zbMATH Keywords

characteristic functionleast-squares estimatorasymptotic approximationsAR(1) processMA(1) processFredholm determinant approachnear-integrated autoregressive modelnear-integrated modelsnearly stationary models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Numerical integration (65D30)

Related Items

Inference About the First-Order Autoregressive Coefficient

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