Nonparametric likelihood inference for general autoregressive models

DOI10.1007/S10260-009-0122-3MaRDI QIDQ257487zbMATH OpenOpenAlexFDO

Authors Francesco Bravo

Publication date 17 March 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-009-0122-3

zbMATH Keywords

empirical likelihooddouble unit rootsfunctional of Brownian motionmartingale inferenceseasonal unit roots

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Inference from spatial processes (62M30) Numerical analysis or methods applied to Markov chains (65C40)

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• scientific article; zbMATH DE number 1779488 (Why is no real title available?)
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• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
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• Bootstrapping the HEGY seasonal unit root tests
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• Empirical likelihood ratio confidence intervals for a single functional
• Estimation for autoregressive processes with unit roots
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• Nonparametric likelihood ratio confidence intervals
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION
• Testing for unit roots in autoregressive-moving average models of unknown order
• Time Series Regression with a Unit Root

Cited in

(5)

• Likelihood-Based Inference in Autoregressive Models with Scaledt-Distributed Innovations by Means of EM-Based Algorithms
• Likelihood inference for a nonstationary fractional autoregressive model
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• A review of empirical likelihood methods for time series
• EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS

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