The sample autocorrelation function of I(1) processes

DOI10.1007/BF02926395MaRDI QIDQ1324971zbMATH OpenFDO

Authors Uwe Hassler

Publication date 7 July 1994

Published in Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

time seriesfunctional central limit theoremautoregressive processesunit root testsAR(1) processesmoving average processessample autocorrelationsautocorrelationsDickey-Fuller distributionautocorrelation estimators of higher lagsI(1) processesMA(1) processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• A functional central limit theorem for weakly dependent sequences of random variables
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Testing for a unit root in time series regression
• The Fractional Unit Root Distribution
• The behaviour of the sample autocorrelation function for an integrated moving average process
• Time Series Regression with a Unit Root
• Time series: theory and methods
• Trends and random walks in macroeconomic time series

Cited in

(10)

• The limiting distribution of the autocorrelation coefficient under a unit root
• Sampled autocovariance and autocorrelation results for linear time processes
• Sum of the sample autocorrelation function
• Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
• THE ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS FOR A MULTIPLE AUTOREGRESSIVE PROCESS WITH ONE UNIT ROOT
• The partial autocorrelation function of an ARMA (1,1) process
• Sample autocorrelations of nonstationary fractionally integrated series
• The serial correlation structure for a random process with steps
• scientific article; zbMATH DE number 4178491 (Why is no real title available?)
• The sample ACF of a simple bilinear process

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