The limiting distribution of the autocorrelation coefficient under a unit root
type: Item
instance of: scholarly article
title: The limiting distribution of the autocorrelation coefficient under a unit root
zbMATH Open document ID: 0778.62014
author: Karim M. Abadir
published in: The Annals of Statistics
publication date: 1993-12-02T00:00:00Z
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 33C10
Mathematics Subject Classification ID: 65C99
zbMATH DE Number: 444795
zbMATH Keywords: time series
zbMATH Keywords: least squares estimator
zbMATH Keywords: limiting distribution
zbMATH Keywords: normalized autocorrelation coefficient
zbMATH Keywords: unit root
zbMATH Keywords: high order transcendental functions
zbMATH Keywords: parabolic cylinder functions
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1176349164
OpenAlex ID: W2069702787
DOI: 10.1214/AOS/1176349164
description: scientific article; zbMATH DE number 444795