The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
type: Item
instance of: scholarly article
title: The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
zbMATH Open document ID: 0753.62061
DOI: 10.2307/3315463
author: Pierre Perron
publication date: 1993-01-17T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62Q05
zbMATH DE Number: 97005
zbMATH Keywords: least-squares estimator
zbMATH Keywords: autoregressive parameter
zbMATH Keywords: nearly integrated seasonal model
zbMATH Keywords: closed-form expression
zbMATH Keywords: limiting joint moment generating function
zbMATH Keywords: percentage points
zbMATH Keywords: asymptotic distribution
zbMATH Keywords: numerical integration
zbMATH Keywords: stochastic asymptotic expansion
zbMATH Keywords: finite-sample distribution
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.2307/3315463
OpenAlex ID: W2087182297
cites work: The Parameter Inference for Nearly Nonstationary Time Series
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cites work: Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
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cites work: The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
published in: The Canadian Journal of Statistics
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