The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

Cited in

(only showing first 100 items - show all)

From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
A limit theorem for mildly explosive autoregression with stable errors
Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
Curved exponential families of stochastic processes and their envelope families
Maximum likelihood estimation in the non-ergodic fractional Vasicek model
Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
On the distribution of quadratic functionals of the ordinary and fractional Brownian motions
Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations
Limit theory for moderate deviations from a unit root
Inference About the First-Order Autoregressive Coefficient
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
On convergence of multivariate Laplace transforms
Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
Asymptotic properties of parameter estimates of generalized autoregression scheme in the unstable case
A class of simple distribution-free rank-based unit root tests
Limit theory and bootstrap for explosive and partially explosive autoregression
A small sample confidence interval for autoregressive parameters
CQR-based inference for the infinite-variance nearly nonstationary autoregressive models
Convergence theorems on the least square estimators of the structural parameters of a linear explosive model
Asymptotic properties of dynamic stochastic parameter estimates
Unit roots: a selective review of the contributions of Peter C. B. Phillips
Asymptotic inference for an unstable spatial AR model
Forecasting and testing in co-integrated systems
Large and moderate deviations upper bounds for the Gaussian autoregressive process
Asymptotic results for polygonal processes related to an autoregression
Offline and online weighted least squares estimation of nonstationary power ARCH processes
Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
Summability of stochastic processes -- a generalization of integration for non-linear processes
Model selection for volatility prediction
Exponential inequalities for self-normalized martingales with applications
Asymptotic theory for estimating drift parameters in the fractional Vasicek model
Mildly explosive autoregression with mixing innovations
Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price
Priors for unit root models
Estimation of the offspring mean in a supercritical or near-critical size-dependent branching process
The exact moments of OLS in dynamic regression models with non-normal errors
Parameter estimation for nearly nonstationary AR(1) processes
Testing for explosive bubbles: a review
Hypothesis testing in a fractional Ornstein-Uhlenbeck model
Sequential fixed accuracy estimation for nonstationary autoregressive processes
Explosive strong periodic autoregression with multiplicity one
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Decomposition of an autoregressive process into first order processes
Least squares bias in time series with moderate deviations from a unit root
On the asymptotic normality of estimates in the nearly non-stationary AR(1) models
Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
On the non-existence of a Bartlett correction for unit root tests
Semiparametrically point-optimal hybrid rank tests for unit roots
Double asymptotics for explosive continuous time models
Maximum likelihood estimators in regression models with infinite variance innovations
Hybrid stochastic local unit roots
Weighted Dickey-Fuller processes for detecting stationarity
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
Integrated functionals of normal and fractional processes
Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
Limit theory for an explosive autoregressive process
Mildly explosive autoregression under weak and strong dependence
Uniform asymptotic normality in stationary and unit root autoregression
On attainable Cramèr-Rao type lower bounds for weighted loss functions
Nearly unstable AR models with coefficient matrices in Jordan normal form
Time Series Approach to the Evolution of Networks: Prediction and Estimation
Clive W. J. Granger and cointegration
On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
Least absolute deviation estimation for AR(1) processes with roots close to unity
Adjusted estimates and Wald statistics for the AR(1) model with constant
Asymptotic properties of dynamic stochastic parameter estimates. III
A comparison of LS/ML and GMM estimation in a simple AR(1) model
Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
Asymptotic inference for \(\mathrm{AR}(1)\) panel data
New insights on concentration inequalities for self-normalized martingales
Asymptotic inference for near unit roots in spatial autoregression
Large deviations for the Yule-Walker estimator of near critical autoregressive processes
Tests for nonlinear cointegration
Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root
On the bias of the OLS estimator in a nonstationary dynamic panel data model
Smoothing local-to-moderate unit root theory
Predictors for the first-order autoregressive process
Asymptotic properties of nearly unstable multivariate AR processes.
Asymptotic inference for semimartingale models with singular parameter points
I got more data, my model is more refined, but my estimator is getting worse! Am I just dumb?
Estimating structural parameters in regression models with adaptive learning
Asymptotic properties of mildly explosive processes with locally stationary disturbance
scientific article; zbMATH DE number 7387619 (Why is no real title available?)
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
QML estimators in linear regression models with functional coefficient autoregressive processes
Gauss-Newton estimation of parameters for a spatial autoregression model
On the bias of the least squares estimator for the first order autoregressive process
An exponential inequality for autoregressive processes in adaptive tracking
Unit root and cointegrating limit theory when initialization is in the infinite past
The distribution of the Durbin-Watson statistic in integrated and near-integrated models
The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
Moderate deviations for the mildly stationary autoregressive model with dependent errors
Asymptotic distribution of the estimated parameters of an \(\mathrm{ARMA}(p,q)\) process with mixing innovations
On parameter estimation for critical affine processes
Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots

This page was built for publication: The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3279656)