Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors

DOI10.1108/S0731-905320140000033003zbMath1453.62621MaRDI QIDQ5133505

Ru Zhang, Yong Bao, Aman Ullah

Publication date: 10 November 2020

Published in: Essays in Honor of Peter C. B. Phillips (Search for Journal in Brave)

zbMATH Keywords

unit rootmoment approximationnonnormal error

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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