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

DOI10.2307/3315463zbMath0753.62061MaRDI QIDQ4021166

Pierre Perron

Publication date: 17 January 1993

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315463

zbMATH Keywords

asymptotic distribution; numerical integration; least-squares estimator; autoregressive parameter; closed-form expression; percentage points; finite-sample distribution; stochastic asymptotic expansion; limiting joint moment generating function; nearly integrated seasonal model

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62Q05: Statistical tables

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Cites Work

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