Mean and autocovariance function estimation near the boundary of stationarity

DOI10.1016/j.jeconom.2012.01.020zbMath1443.62260OpenAlexW2121693287MaRDI QIDQ527991

Liudas Giraitis, Peter C. B. Phillips

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1831

zbMATH Keywords

asymptotic normalitylinear processlocal to unityintegrated periodogramlocalizing coefficient

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Related Items (4)

Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model ⋮ Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1) ⋮ Weak convergence in the near unit root setting ⋮ On the limit theory of mixed to unity VARs: Panel setting with weakly dependent errors

Cites Work

• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Limit theory for moderate deviations from a unit root
• Approximations and limit theory for quadratic forms of linear processes
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Uniform Limit Theory for Stationary Autoregression
• Towards a unified asymptotic theory for autoregression
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• The asymptotic theory of linear time-series models
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