Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)
DOI10.1016/J.SPL.2017.02.017zbMATH Open1378.62085OpenAlexW175190706MaRDI QIDQ2407792FDOQ2407792
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
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Cites Work
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Limit theory for moderate deviations from a unit root
- 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?
- Local asymptotic distribution related to the AR(1) model with dependent errors
- Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
- Title not available (Why is that?)
- Uniform Limit Theory for Stationary Autoregression
- Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
- Title not available (Why is that?)
- Mean and autocovariance function estimation near the boundary of stationarity
- Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
- WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
- Smoothing local-to-moderate unit root theory
Cited In (4)
- Cramér's moderate deviations for the LS estimator of the autoregressive processes in the neighborhood of the unit root
- Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
- M-estimation for moderate deviations from a unit root
- Asymptotic theory for LAD estimation of moderate deviations from a unit root
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