Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)

DOI10.1111/j.1467-9892.2011.00761.xzbMath1281.62056OpenAlexW1820216987MaRDI QIDQ5397931

Ryota Yabe

Publication date: 25 February 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00761.x

zbMATH Keywords

unit rootmoderate deviationlocal-to-unityMA(1)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Related Items (2)

A likelihood ratio type test for invertibility in moving average processes ⋮ Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)

Cites Work

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• Limit theory for moderate deviations from a unit root
• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Uniform Limit Theory for Stationary Autoregression
• Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

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