Edgeworth's time series model: not AR(1) but same covariance structure

DOI10.1016/J.JECONOM.2019.04.015MaRDI QIDQ2330757zbMATH OpenOpenAlexWikidataFDO

Authors Stephen Portnoy

Publication date 23 October 2019

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2019.04.015

zbMATH Keywords

AR(1)counterexampleEdgeworth processmodel diagnostics

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• EDGEWORTH APPROXIMATION IN THE AR(1) PROCESS WITH SOME POSSIBLY NONZERO INITIAL VALUE
• On Edgeworth models for count time series
• scientific article; zbMATH DE number 176099
• A Theorem of Validity for Edgeworth Expansions
• Asymptotic distribution of statistics in time series

Cites work

• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Quantile Autoregression

Cited in

(2)

• On Edgeworth models for count time series
• Closed-form solutions for Bernoulli and compound Poisson branching processes in random environments

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