Uniform asymptotic normality in stationary and unit root autoregression
DOI10.1017/S0266466611000016zbMATH Open1442.62200OpenAlexW3124207981MaRDI QIDQ3108564FDOQ3108564
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
Recommendations
- How to estimate autoregressive roots near unity
- PARTIALLY LINEAR MODELS WITH UNIT ROOTS
- CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
- scientific article; zbMATH DE number 3980301
- Asymptotics of regressions with stationary and nonstationary residuals.
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)
Cites Work
- Asymptotics for linear processes
- Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
- Dependent central limit theorems and invariance principles
- Title not available (Why is that?)
- Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Towards a unified asymptotic theory for autoregression
- Fully Modified Least Squares and Vector Autoregression
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Fixed accuracy estimation of an autoregressive parameter
- Unit root and cointegrating limit theory when initialization is in the infinite past
- ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
- Unbiased estimation as a solution to testing for random walks
- Indirect inference for dynamic panel models
- GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
- Efficient GMM and MD estimation of autoregressive models
Cited In (11)
- Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
- X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
- ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
- Nearly weighted risk minimal unbiased estimation
- First difference maximum likelihood and dynamic panel estimation
- Lag length selection in panel autoregression
- ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
- Gaussian inference in general AR(1) models based on difference
- Towards a unified asymptotic theory for autoregression
- DIFFERENCING TRANSFORMATIONS AND INFERENCE IN PREDICTIVE REGRESSION MODELS
- Optimal estimation under nonstandard conditions
This page was built for publication: Uniform asymptotic normality in stationary and unit root autoregression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3108564)
