Asymptotic laws of successive least squares estimates for seasonal arima models and application

DOI10.1111/1467-9892.00287MaRDI QIDQ3440774zbMATH OpenOpenAlexFDO

Authors

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00287

zbMATH Keywords

least squares estimateseasonal ARIMA modelsuccessive autoregression

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• On the nearly nonstationary seasonal time series
• scientific article; zbMATH DE number 5824428
• ASYMPTOTIC DISTRIBUTIONS FOR UNIT ROOT TEST STATISTICS IN NEARLY INTEGRATED SEASONAL AUTOREGRESSIVE MODELS
• Tests for Seasonal Moving Average Unit Root in ARIMA Models
• Identification of seasonal arima models using a filtering method
• scientific article; zbMATH DE number 3858241

Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Seasonal integration and cointegration
• Some tests for unit roots in seasonal time series with deterministic trends

Cited in

(1)

• The limiting distribution of the least‐squares estimator in nearly integrated seasonal models

This page was built for publication: Asymptotic laws of successive least squares estimates for seasonal arima models and application

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3440774)