M-estimation for moderate deviations from a unit root

DOI10.1080/03610926.2012.751114MaRDI QIDQ5249203zbMATH OpenOpenAlexFDO

Authors Xin-Bing Kong

Publication date 29 April 2015

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2012.751114

zbMATH Keywords

Bahadur representationlocal to unit rootM-estimationmoderately deviated rootunit root

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Asymptotic theory for LAD estimation of moderate deviations from a unit root
• Limit theory for moderate deviations from a unit root
• Moderate deviation principles for empirical covariance in the neighbourhood of the unit root
• Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)
• M-estimation for near unit roots in spatial autoregression with infinite variance

Cites work

• Asymptotic inference for nearly nonstationary AR(1) processes
• scientific article; zbMATH DE number 1300859 (Why is no real title available?)
• Limit theory for moderate deviations from a unit root
• Local linear quantile estimation for nonstationary time series
• REGRESSION QUANTILES FOR TIME SERIES
• Smoothing local-to-moderate unit root theory
• Towards a unified asymptotic theory for autoregression

Cited in

(10)

• Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
• Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)
• Asymptotic theory for LAD estimation of moderate deviations from a unit root
• Limit theory for moderate deviations from a unit root
• Jackknife estimation with a unit root
• Asymptotic inference of least absolute deviation estimation for AR(1) processes
• Moderate deviation principles for empirical covariance in the neighbourhood of the unit root
• Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient
• Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance
• Smoothing local-to-moderate unit root theory

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