ALMOST SURE BOUNDS ON THE ESTIMATION ERROR FOR OLS ESTIMATORS WHEN THE REGRESSORS INCLUDE CERTAIN MFI(1) PROCESSES

DOI10.1017/S0266466608090579zbMath1279.62181MaRDI QIDQ3632434

Dietmar Bauer

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

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

62J05: Linear regression; mixed models

62M09: Non-Markovian processes: estimation

Cites Work

• Unnamed Item
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS