Asymptotic theory for a stochastic unit root model

DOI10.1080/03610926.2020.1764582OpenAlexW3026281885MaRDI QIDQ5079874

Tian-Xiao Pang, Lingjie Du

Publication date: 30 May 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2020.1764582

zbMATH Keywords

asymptotic distributionstochastic unit rootnon-stationarynonlinear least squares estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Statistics (62-XX)

Cites Work

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• TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
• Probability Inequalities

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