The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending

DOI10.1111/jtsa.12123zbMath1325.62162OpenAlexW2141233514MaRDI QIDQ5256820

Marcus J. Chambers

Publication date: 29 June 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/8975/1/dp727.pdf

zbMATH Keywords

characteristic functionmoment generating functionGLS detrendingnear-integrated model

Mathematics Subject Classification ID

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

Cites Work

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