The limiting distribution of the autocorrelation coefficient under a unit root

DOI10.1214/aos/1176349164zbMath0778.62014OpenAlexW2069702787MaRDI QIDQ688405

Karim M. Abadir

Publication date: 2 December 1993

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176349164

zbMATH Keywords

time seriesunit rootlimiting distributionleast squares estimatorparabolic cylinder functionshigh order transcendental functionsnormalized autocorrelation coefficient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Probabilistic methods, stochastic differential equations (65C99)

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