A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
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Publication:3361763
DOI10.2307/2938247zbMath0734.62088OpenAlexW2002875072MaRDI QIDQ3361763
Publication date: 1991
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2938247
Wiener processunit rootleast-squares estimatorpower functionfirst-order autoregressive processfirst-order stochastic difference equationcontinuous-time Ornstein-Uhlenbeck processmoment- generating functionnear-integrated processes
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15) Markov processes: estimation; hidden Markov models (62M05)
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