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

DOI10.1111/JTSA.12031MaRDI QIDQ2864622zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Asymptotics for linear processes
• GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
• GMM estimation for dynamic panels with fixed effects and strong instruments at unity
• Large-sample inference in the general AR(1) model
• Uniform asymptotic normality in stationary and unit root autoregression
• Unit root and cointegrating limit theory when initialization is in the infinite past

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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