Uniform Limit Theory for Stationary Autoregression
From MaRDI portal
Publication:3440740
Recommendations
- Asymptotics of regressions with stationary and nonstationary residuals.
- Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
- Towards a unified asymptotic theory for autoregression
- On the asymptotic normality of estimates in the nearly non-stationary AR(1) models
- Étude de l'estimateur du maximum de vraisemblance dans le cas d'un processus autorégressif: convergence, normalité asymptotique, vitesse de convergence. (Asymptotic behaviour of maximum likelihood estimator in an autoregressive process: consistency, asymptotic distribution and expansion, rate of convergence)
Cited in
(57)- Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances
- Quenouille-type theorem on autocorrelations
- Modulo 1 limit theorems for autoregressive random variables and their sums
- Perpetual learning and apparent long memory
- Testing epidemic change in nearly nonstationary process with statistics based on residuals
- Functional central limit theorems for sums of nearly nonstationary processes
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
- CQR-based inference for the infinite-variance nearly nonstationary autoregressive models
- The uniform validity of impulse response inference in autoregressions
- Generic results for establishing the asymptotic size of confidence sets and tests
- Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
- Hybrid stochastic local unit roots
- Asymptotic theory for near integrated processes driven by tempered linear processes
- A note on limit theory for mildly stationary autoregression with a heavy-tailed GARCH error process
- Quantile inference for moderate deviations from a unit root model with infinite variance
- Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)
- Limit theory for moderate deviations from a unit root under innovations with a possibly infinite variance
- Asymptotics of regressions with stationary and nonstationary residuals.
- Estimating deterministic trends with an integrated or stationary noise component
- Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
- Unit root log periodogram regression
- Limit theory for moderate deviations from a unit root
- Unit roots: a selective review of the contributions of Peter C. B. Phillips
- A limit theorem for mildly explosive autoregression with stable errors
- Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
- Least squares bias in time series with moderate deviations from a unit root
- Asymptotic theory and unified confidence region for an autoregressive model
- Martingale methods of estimation in a nonlinear autoregression model
- Differencing transformations and inference in predictive regression models
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
- Towards a unified asymptotic theory for autoregression
- Weak convergence in the near unit root setting
- IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
- Inference for VARs identified with sign restrictions
- Asymptotic inference of least absolute deviation estimation for AR(1) processes
- Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests
- Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
- Moderate deviation principles for empirical covariance in the neighbourhood of the unit root
- Mean and autocovariance function estimation near the boundary of stationarity
- Mildly explosive autoregression under weak and strong dependence
- Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
- Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
- Bias reduction and likelihood-based almost exactly sized hypothesis testing in predictive regressions using the restricted likelihood
- On the inconsistency of the unrestricted estimator of the information matrix near a unit root
- Asymptotic properties of bubble monitoring tests
- ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
- Asymptotic properties of the M-estimation for an AR(1) process with a general autoregressive coefficient
- Least absolute deviation estimation for AR(1) processes with roots close to unity
- Consistency and asymptotic normality in a class of nearly unstable processes
- Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence
- The limit theorem for dependent random variables with applications to autoregression models
- Asymptotics of M-estimators for moderate deviations from a unit root model with possibly infinite variance
- Testing for the extent of instability in nearly unstable processes
- Mildly explosive autoregression with mixing innovations
- Asymptotic properties of the estimators in mildly stable unit root process
- Asymptotic theory in spatio-temporal unstable autoregression
- Smoothing local-to-moderate unit root theory
This page was built for publication: Uniform Limit Theory for Stationary Autoregression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3440740)
