PATH INTEGRAL METHOD FOR LIMITING DISTRIBUTION OF AN ESTIMATOR ARISING FROM AN AR(1)-PROCESS WITH A UNIT ROOT

DOI10.1142/S021902571350029XzbMath1284.28010MaRDI QIDQ5401579

Shih-Feng Huang, Hsin-Hung Shih, Yuh-Jia Lee

Publication date: 10 March 2014

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

zbMATH Keywords

path-integral methodunit root testclassical Wiener space

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Approximations to statistical distributions (nonasymptotic) (62E17) Measures and integration on abstract linear spaces (46G12) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Cites Work

• Mean-variance portfolio selection of cointegrated assets
• Lectures on stochastic differential equations and Malliavin calculus
• Gaussian measures in Banach spaces
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• Unit root tests in panel data: asymptotic and finite-sample properties
• Potential theory on Hilbert space
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Testing For Unit Roots: 1
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Exact formulas of certain functional integrals on wiener spaces
• Inversion Formulae for the Distribution of Ratios
• Unnamed Item

This page was built for publication: PATH INTEGRAL METHOD FOR LIMITING DISTRIBUTION OF AN ESTIMATOR ARISING FROM AN AR(1)-PROCESS WITH A UNIT ROOT