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

DOI10.1016/J.JECONOM.2019.04.015zbMATH Open1456.62214OpenAlexW2935923190WikidataQ128073197 ScholiaQ128073197MaRDI QIDQ2330757FDOQ2330757

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

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zbMATH Keywords

counterexamplemodel diagnosticsAR(1)Edgeworth process

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Quantile Autoregression

Cited In (1)

• On Edgeworth models for count time series

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