Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression

DOI10.1016/J.SPL.2005.06.017zbMATH Open1085.62015OpenAlexW2037214953MaRDI QIDQ2489787FDOQ2489787

Authors: Dimitrios V. Vougas 

Publication date: 28 April 2006

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

Full work available at URL: https://doi.org/10.1016/j.spl.2005.06.017

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zbMATH Keywords

OLS estimatorAR(1)Approximations to exact distributionsLarge-sample asymptotic theoryParameter-based asymptotic theorySmall-sigma asymptotic theoryUnit-root process

Mathematics Subject Classification ID

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

Cites Work

• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Computing the distribution of quadratic forms in normal variables
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Time Series Regression with a Unit Root
• Testing For Unit Roots: 1
• The limiting distribution of the autocorrelation coefficient under a unit root
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Finite Sample Econometrics
• Numerical inversion of a characteristic function
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• Parameter-based asymptotics
• Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case II
• THE EXACT CUMULATIVE DISTRIBUTION FUNCTION OF A RATIO OF QUADRATIC FORMS IN NORMAL VARIABLES, WITH APPLICATION TO THE AR(1) MODEL

Cited In (1)

• A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan

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