Regression with autoregressive errors-some asymptotic results

DOI10.1080/02331888908802139zbMath0669.62053OpenAlexW2068510264MaRDI QIDQ3823010

Ross A. Maller

Publication date: 1989

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888908802139

zbMATH Keywords

consistencyuniquenessasymptotic normalitymaximum likelihood estimatorsautocorrelationlikelihood ratio testschi-squareautoregressive errorsasymptotic existence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (3)

Estimating parameters of a multiple autoregressive model by the modified maximum likelihood method ⋮ Estimating parameters in autoregressive models with asymmetric innovations ⋮ Estimating parameters in autoregressive models in non-normal situations: symmetric innovations

Cites Work

• Unnamed Item
• Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• A characterization of limiting distributions of estimators in an autoregressive process
• A Generalization of the Durbin Significance Test and Its Application to Dynamic Specification
• Higher order approximations for autocovariances from linear processes with applications
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• Weak and strong consistency of the least squares estimators in regression models
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Asymptotic Distribution of Maximum Likelihood Estimators in a Linear Model With Autoregressive Disturbances
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• On the Statistical Treatment of Linear Stochastic Difference Equations

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