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

DOI10.1016/J.SPL.2017.02.017MaRDI QIDQ2407792zbMATH OpenOpenAlexFDO

Authors 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

moderate deviationsunit rootmoving average

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3727458 (Why is no real title available?)
• scientific article; zbMATH DE number 957960 (Why is no real title available?)
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Limit theory for moderate deviations from a unit root
• Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
• Mean and autocovariance function estimation near the boundary of stationarity
• Smoothing local-to-moderate unit root theory
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Uniform Limit Theory for Stationary Autoregression
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*

Cited in

(4)

• Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
• Asymptotic theory for LAD estimation of moderate deviations from a unit root
• M-estimation for moderate deviations from a unit root
• Cramér's moderate deviations for the LS estimator of the autoregressive processes in the neighborhood of the unit root

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