Explosive strong periodic autoregression with multiplicity one

DOI10.1016/j.jspi.2014.12.010zbMath1311.62031MaRDI QIDQ2344392

Abdelhakim Aknouche

Publication date: 15 May 2015

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

Full work available at URL: https://doi.org/10.1016/j.jspi.2014.12.010

zbMATH Keywords

periodic autoregression; periodic integration; periodic stationarity; asymptotic distribution of OLSE; explosive models

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

Related Items

Periodic autoregressive conditional duration

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