Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)

DOI10.1016/j.spl.2017.02.017zbMath1378.62085OpenAlexW175190706MaRDI QIDQ2407792

Ryota Yabe

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/26948/070econDP14-19.pdf

zbMATH Keywords

unit rootmoderate deviationsmoving average

Mathematics Subject Classification ID

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

Cites Work

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• Limit theory for moderate deviations from a unit root
• Mean and autocovariance function estimation near the boundary of stationarity
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• Local asymptotic distribution related to the AR(1) model with dependent errors
• Uniform Limit Theory for Stationary Autoregression
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• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
• Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)

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