The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case II
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Publication:5343949
DOI10.1214/aoms/1177706213zbMath0133.42403OpenAlexW4235670773MaRDI QIDQ5343949
Publication date: 1959
Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoms/1177706213
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From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more ⋮ Unnamed Item ⋮ On the bias of the least squares estimator for the first order autoregressive process ⋮ Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses ⋮ Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots ⋮ Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise ⋮ Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression ⋮ QML estimators in linear regression models with functional coefficient autoregressive processes ⋮ Periodogram ordinate: spatial model with near unit roots and dependent errors ⋮ DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE ⋮ A comparison of LS/ML and GMM estimation in a simple AR(1) model ⋮ Asymptotics of regressions with stationary and nonstationary residuals. ⋮ Parameter estimation for nearly nonstationary AR(1) processes
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