Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
DOI10.1016/S0304-4076(00)00026-9zbMath1075.62615OpenAlexW3023387016WikidataQ127898868 ScholiaQ127898868MaRDI QIDQ1841189
Jean-Marie Dufour, Olivier Torrès
Publication date: 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00026-9
Markov processTime seriesAutoregressive processInvestmentAutocorrelationExact testDynamic modelDistributed-lag modelFinite-sample testIntercalary independenceOgawara-HannanTwo-sided autoregression
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
Related Items (4)
Cites Work
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