UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
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Publication:3108564
DOI10.1017/S0266466611000016zbMath1442.62200OpenAlexW3124207981MaRDI QIDQ3108564
Chirok Han, Donggyu Sul, Peter C. B. Phillips
Publication date: 4 January 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466611000016
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)
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ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES, DIFFERENCING TRANSFORMATIONS AND INFERENCE IN PREDICTIVE REGRESSION MODELS, ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS, First difference maximum likelihood and dynamic panel estimation, Nearly weighted risk minimal unbiased estimation, Optimal estimation under nonstandard conditions, X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION, Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals, Gaussian inference in general AR(1) models based on difference, Lag length selection in panel autoregression
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