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

DOI10.2307/3315463MaRDI QIDQ4021166zbMATHOpenAlexFDO

Authors Pierre Perron

Publication date 17 January 1993

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

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

zbMATH Keywords

asymptotic distributionnumerical integrationpercentage pointsleast-squares estimatorautoregressive parameterclosed-form expressionfinite-sample distributionstochastic asymptotic expansionlimiting joint moment generating functionnearly integrated seasonal model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Statistical tables (62Q05)

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Cites work

• scientific article; zbMATH DE number 48635 (Why is no real title available?)
• A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
• Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
• Inversion Formulae for the Distribution of Ratios
• Some exact results on the sample autocovariances of a seasonal ARIMA model
• Testing for Unit Roots in Seasonal Time Series
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• The Parameter Inference for Nearly Nonstationary Time Series
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
• Towards a unified asymptotic theory for autoregression

Cited in

(5)

• Parameter inference for time series with regular and seasonal unit roots
• The Poisson limit theorem for high extrema of a time series with seasonal component and monotone trend
• ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
• Local asymptotic distribution related to the AR(1) model with dependent errors
• ASYMPTOTIC DISTRIBUTIONS FOR UNIT ROOT TEST STATISTICS IN NEARLY INTEGRATED SEASONAL AUTOREGRESSIVE MODELS

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