Gaussian inference in general AR(1) models based on difference

DOI10.1111/JTSA.12031zbMATH Open1277.62209OpenAlexW3122272952MaRDI QIDQ2864622FDOQ2864622

Authors: Jhih-Gang Chen, Biing-Shen Kuo 

Publication date: 26 November 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12031

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zbMATH Keywords

differenceunit rootAR model

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Asymptotics for linear processes
• Unit root and cointegrating limit theory when initialization is in the infinite past
• GMM estimation for dynamic panels with fixed effects and strong instruments at unity
• GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
• Uniform asymptotic normality in stationary and unit root autoregression
• Large-sample inference in the general AR(1) model

Cited In (3)

• The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions
• GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
• THE EFFECTS OF DIFFERENCING ON THE GAUSSIAN LIKELIHOOD OF MODELS WITH UNOBSERVABLE STOCHASTIC TRENDS: A SIMPLE EXAMPLE

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