Asymptotics of regressions with stationary and nonstationary residuals.

DOI10.1016/S0304-4149(02)00263-6zbMath1075.60507MaRDI QIDQ2574563

Ross A. Maller

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

unit root; linear regression; autocorrelation; autoregressive process; explosive process

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G10: Stationary stochastic processes

60F17: Functional limit theorems; invariance principles

62F05: Asymptotic properties of parametric tests

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