Least squares estimators for unit root processes with locally stationary disturbance
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Publication:764805
DOI10.1155/2012/893497zbMath1233.62155OpenAlexW2028496328WikidataQ58697864 ScholiaQ58697864MaRDI QIDQ764805
Junichi Hirukawa, Mako Sadakata
Publication date: 14 March 2012
Published in: Advances in Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/893497
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)
Related Items (2)
Asymptotic properties of mildly explosive processes with locally stationary disturbance ⋮ Least squares estimators for unit root processes with locally stationary disturbance
Cites Work
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- Least squares estimators for unit root processes with locally stationary disturbance
- LAN theorem for non-Gaussian locally stationary processes and its applications
- Maximum likelihood estimation and model selection for locally stationary processes∗
- ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS
- Computing the distribution of quadratic forms in normal variables
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