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

Cited in

(only showing first 100 items - show all)

Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)
On convergence of multivariate Laplace transforms
A general framework for the parametrization of hierarchical models
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Decomposition of an autoregressive process into first order processes
The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
Asymptotic results for polygonal processes related to an autoregression
Mildly explosive autoregression under weak and strong dependence
Hypothesis testing in a fractional Ornstein-Uhlenbeck model
Curved exponential families of stochastic processes and their envelope families
Asymptotic properties of parameter estimates of generalized autoregression scheme in the unstable case
QML estimators in linear regression models with functional coefficient autoregressive processes
Asymptotic inference for semimartingale models with singular parameter points
Gauss-Newton estimation of parameters for a spatial autoregression model
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
Double asymptotics for explosive continuous time models
From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
Asymptotics of regressions with stationary and nonstationary residuals.
On the non-existence of a Bartlett correction for unit root tests
A small sample confidence interval for autoregressive parameters
Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors
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
Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets
Adjusted estimates and Wald statistics for the AR(1) model with constant
On parameter estimation for critical affine processes
The exact moments of OLS in dynamic regression models with non-normal errors
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
Predictors for the first-order autoregressive process
Exponential inequalities for self-normalized martingales with applications
CQR-based inference for the infinite-variance nearly nonstationary autoregressive models
A class of simple distribution-free rank-based unit root tests
Smoothing local-to-moderate unit root theory
A new estimator for the unit root
Estimation of the offspring mean in a supercritical or near-critical size-dependent branching process
Integrated functionals of normal and fractional processes
Asymptotic theory of estimation of parameters in autoregressive models under general set-up of the roots
Asymptotic inference for \(\mathrm{AR}(1)\) panel data
Mildly explosive autoregression with mixing innovations
A limit theorem for mildly explosive autoregression with stable errors
Asymptotic properties of dynamic stochastic parameter estimates. III
Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
On the asymptotic normality of estimates in the nearly non-stationary AR(1) models
Forecasting and testing in co-integrated systems
Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
On the distribution of quadratic functionals of the ordinary and fractional Brownian motions
Unit root and cointegrating limit theory when initialization is in the infinite past
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
Limit theory for moderate deviations from a unit root
Asymptotic inference for near unit roots in spatial autoregression
Parameter estimation for nearly nonstationary AR(1) processes
Asymptotic inference for an unstable spatial AR model
Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
Priors for unit root models
On the bias of the OLS estimator in a nonstationary dynamic panel data model
Large and moderate deviations upper bounds for the Gaussian autoregressive process
A note on unit root tests with heavy-tailed GARCH errors
Tests for nonlinear cointegration
Deviation probability bound for martingales with applications to statistical estimation
Editor's introduction: Analysis of financial data
Information quantities in non-classical settings
Limit theory for an explosive autoregressive process
LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
Summability of stochastic processes -- a generalization of integration for non-linear processes
On the bias of the least squares estimator for the first order autoregressive process
Maximum likelihood estimators in regression models with infinite variance innovations
Uniform asymptotic normality in stationary and unit root autoregression
Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses
Testing for the extent of instability in nearly unstable processes
scientific article; zbMATH DE number 7387619 (Why is no real title available?)
Convergence theorems on the least square estimators of the structural parameters of a linear explosive model
Unit root testing in the presence of heavy-tailed GARCH errors
Least absolute deviation estimation for AR(1) processes with roots close to unity
Asymptotic properties of dynamic stochastic parameter estimates
Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
Inference About the First-Order Autoregressive Coefficient
Sequential fixed accuracy estimation for nonstationary autoregressive processes
Semiparametrically point-optimal hybrid rank tests for unit roots
A comparison of LS/ML and GMM estimation in a simple AR(1) model
Maximum likelihood estimation in the non-ergodic fractional Vasicek model
Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
Asymptotic properties of mildly explosive processes with locally stationary disturbance
Large sample estimation in nonstationary autoregressive processes with multiple observations
Asymptotic distributions of some robust scale estimators in explosive AR(1) model
Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
Large deviations for the Yule-Walker estimator of near critical autoregressive processes
The distribution of the Durbin-Watson statistic in integrated and near-integrated models
Instability detection of ARMA systems based on AR system identification
Explosive strong periodic autoregression with multiplicity one
On attainable Cramèr-Rao type lower bounds for weighted loss functions
New insights on concentration inequalities for self-normalized martingales
Least squares bias in time series with moderate deviations from a unit root
Nearly unstable AR models with coefficient matrices in Jordan normal form

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)