M-estimation for Moderate Deviations From a Unit Root

DOI10.1080/03610926.2012.751114zbMath1314.62205OpenAlexW2064616714MaRDI QIDQ5249203

Xin-Bing Kong

Publication date: 29 April 2015

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

Full work available at URL: https://doi.org/10.1080/03610926.2012.751114

zbMATH Keywords

Bahadur representationunit rootM-estimationlocal to unit rootmoderately deviated root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (2)

Asymptotic inference of least absolute deviation estimation for AR(1) processes ⋮ Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient

Cites Work

• Unnamed Item
• Limit theory for moderate deviations from a unit root
• Smoothing local-to-moderate unit root theory
• Local linear quantile estimation for nonstationary time series
• Asymptotic inference for nearly nonstationary AR(1) processes
• Towards a unified asymptotic theory for autoregression
• REGRESSION QUANTILES FOR TIME SERIES

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