Asymptotic inference in regression models with autoregressive errors having roots on the unit circle

DOI10.1016/0165-1765(86)90005-4zbMath1328.62513OpenAlexW2052802658WikidataQ126656866 ScholiaQ126656866MaRDI QIDQ899769

Juha Ahtola

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90005-4

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Asymptotic inference in regression models with autoregressive errors having roots on the unit circle

Cites Work

• Asymptotic inference in regression models with autoregressive errors having roots on the unit circle
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Regression Models with Time Series Errors
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE

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