The sample autocorrelation function of I(1) processes

DOI10.1007/BF02926395zbMATH Open0803.62081MaRDI QIDQ1324971FDOQ1324971

Authors: Uwe Hassler 

Publication date: 7 July 1994

Published in: Statistical Papers (Search for Journal in Brave)

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• Small-sample Autocorrelation Structure for Long-memory Time Series

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)

Cites Work

• Title not available (Why is that?)
• Time series: theory and methods
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Title not available (Why is that?)
• The Fractional Unit Root Distribution
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• A functional central limit theorem for weakly dependent sequences of random variables
• Trends and random walks in macroeconomic time series
• The behaviour of the sample autocorrelation function for an integrated moving average process
• PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS

Cited In (10)

• The serial correlation structure for a random process with steps
• The limiting distribution of the autocorrelation coefficient under a unit root
• Title not available (Why is that?)
• The partial autocorrelation function of an ARMA (1,1) process
• Sampled autocovariance and autocorrelation results for linear time processes
• Sample autocorrelations of nonstationary fractionally integrated series
• Sum of the sample autocorrelation function
• The sample ACF of a simple bilinear process
• THE ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS FOR A MULTIPLE AUTOREGRESSIVE PROCESS WITH ONE UNIT ROOT
• Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated

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