Differencing of random walks and near random walks

DOI10.1016/0304-4076(77)90002-1zbMATH Open0371.62121OpenAlexW2087283537MaRDI QIDQ1243566FDOQ1243566

Authors: Nicholas J. Gonedes, Harry V. Roberts 

Publication date: 1977

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(77)90002-1

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

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• Quadratic Forms and Idempotent Matrices with Random Elements
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• Finding Sampling Distributions by a Recognition Method
• A Sampling Study of the Merits of Auto-Regressive and Reduced Form Transformations in Regression Analysis
• Further Contributions to the Problem of Serial Correlation

Cited In (3)

• Predictors for the first-order autoregressive process
• Estimation of a non-invertible moving average process: the case of overdifferencing
• The exact multi-period mean-square forecast error for the first-order autoregressive model

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