Asymptotic properties of estimators for autoregressive models with errors in variables
DOI10.1214/AOS/1033066218zbMATH Open0853.62070OpenAlexW1971652591MaRDI QIDQ1922415FDOQ1922415
Authors: Kamal C. Chanda 
Publication date: 9 January 1997
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1033066218
Recommendations
errors in variablesautoregressive modelrates of convergencestrictly stationary sequenceconsistency propertiesidentifiable parametermodified Yule-Walker equations
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Linear Statistical Inference and its Applications
- On the errors-in-variables problem for time series
- Estimating structural and functional relationships
- LARGE SAMPLE ANALYSIS OF AUTOREGRESSIVE MOVING-AVERAGE MODELS WITH ERRORS IN VARIABLES
- Estimating linear statistical relationships
- Identification in dynamic shock-error models
- IDENTIFIABILITY IN DYNAMIC ERRORS-IN-VARIABLES MODELS
- Title not available (Why is that?)
- Global identification of the dynamic shock-error model
- Regression for time series with errors of measurement
- Title not available (Why is that?)
Cited In (24)
- Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
- Asymptotic Properties of OLS Estimates in Autoregressions with Bounded or Slowly Growing Deterministic Trends
- Lack-of-fit of a parametric measurement error AR(1) model
- Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models
- Asymptotic bias of the least squares estimator for multivariate autoregressive models
- Title not available (Why is that?)
- Measurement errors in dynamic models
- ASYMPTOTIC MEAN SQUARE PREDICTION ERROR FOR A MULTIVARIATE AUTOREGRESSIVE MODEL WITH RANDOM COEFFICIENTS
- Asymptotic properties of the corrected score estimator in the autoregressive model with measurement errors
- Estimating parameters in autoregressive models with asymmetric innovations
- Title not available (Why is that?)
- Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk
- Testing for measurement error in regression with autoregressive innovations
- Asymptotic properties of some estimators for partly linear stationary autoregressive models
- Variance bounds for estimators in autoregressive models with constraints
- Autoregressive process with measurement errors
- Towards a unified asymptotic theory for autoregression
- LARGE SAMPLE ANALYSIS OF AUTOREGRESSIVE MOVING-AVERAGE MODELS WITH ERRORS IN VARIABLES
- Title not available (Why is that?)
- Title not available (Why is that?)
- Asymptotic properties of the sign estimate of autoregression field coefficients
- Bahadur-Kiefer representations for GM-estimators in linear Markov models with errors in variables
- Estimation in autoregressive model with measurement error
- Sensitivity analysis of error-contaminated time series data under autoregressive models with the application of COVID-19 data
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