Least squares estimation of the coefficients of a partially explosive model, with polynomial regressions of same degree, generating a pair of related time series
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Publication:3470024
DOI10.1007/BF02924670zbMath0694.62039OpenAlexW1999795316MaRDI QIDQ3470024
K. Suresh Chandra, P. Dhanavanthan
Publication date: 1990
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02924670
consistencyleast squares estimatesasymptotically singular normalpair of related time seriespartially explosive linear modelpolynomial regression components
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Cites Work
- Estimation of the parameters of stochastic difference equations
- Convergence theorems on the least square estimators of the structural parameters of a linear explosive model
- Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
- Least squares estimation of the parameters of a stochastic difference equation with polynomial regression component
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