The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
type: Item
instance of: scholarly article
title: The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
zbMATH Open document ID: 0834.62021
DOI: 10.1016/0304-4076(94)01657-7
author: Pierre Perron
published in: Journal of Econometrics
publication date: 1996-04-08T00:00:00Z
full work available at URL: http://hdl.handle.net/1866/2055
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 844110
zbMATH Keywords: functional weak convergence
zbMATH Keywords: unit root process
zbMATH Keywords: autoregressive moving- average models
zbMATH Keywords: normalized least squares estimator
zbMATH Keywords: nearly integrated first-order autoregressive model
zbMATH Keywords: dependent errors
zbMATH Keywords: asymptotic expansion
zbMATH Keywords: limiting moment generating function
zbMATH Keywords: numerical integration
zbMATH Keywords: simulation study
zbMATH Keywords: MA(1) errors
zbMATH Keywords: AR(1) errors
MaRDI profile type: Publication
OpenAlex ID: W2149231652
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description: scientific article; zbMATH DE number 844110