Asymptotics of tests for a unit root in autoregression

DOI10.1016/S0378-3758(02)00317-8zbMath1016.62101OpenAlexW2029062062MaRDI QIDQ1866241

Kenji Sakiyama, Masanobu Taniguchi, Madan Lal Puri

Publication date: 3 April 2003

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(02)00317-8

zbMATH Keywords

local asymptotic normalityautoregressive modellocal asymptotic optimalitygeneralized LSEnear integrated processtests for unit root

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Cites Work

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