Towards a unified asymptotic theory for autoregression

DOI10.1093/biomet/74.3.535zbMath0654.62073OpenAlexW2093718718MaRDI QIDQ3800934

Publication date: 1987

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0782-r.pdf

zbMATH Keywords

Brownian motion diffusion process unit root local alternatives asymptotic theory moment conditions noncentrality parameter first-order autoregression weak dependence conditions asymptotic power of tests continuous time estimation near-integrated process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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