Uniform asymptotic normality in stationary and unit root autoregression

DOI10.1017/S0266466611000016MaRDI QIDQ3108564zbMATH OpenOpenAlexFDO

Authors Chirok Han, Peter C. B. Phillips, Donggyu Sul

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

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Asymptotics for linear processes
• Bias Reduction of Autoregressive Estimates in Time Series Regression Model through Restricted Maximum Likelihood
• Dependent central limit theorems and invariance principles
• Efficient GMM and MD estimation of autoregressive models
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Fixed accuracy estimation of an autoregressive parameter
• Fully Modified Least Squares and Vector Autoregression
• GMM estimation for dynamic panels with fixed effects and strong instruments at unity
• Indirect inference for dynamic panel models
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Towards a unified asymptotic theory for autoregression
• Unbiased estimation as a solution to testing for random walks
• Unit root and cointegrating limit theory when initialization is in the infinite past

Cited in

(11)

• Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
• ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
• Nearly weighted risk minimal unbiased estimation
• First difference maximum likelihood and dynamic panel estimation
• ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
• Gaussian inference in general AR(1) models based on difference
• Lag length selection in panel autoregression
• X-differencing and dynamic panel model estimation
• Differencing transformations and inference in predictive regression models
• Towards a unified asymptotic theory for autoregression
• Optimal estimation under nonstandard conditions

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