scientific article; zbMATH DE number 1064655

MaRDI QIDQ4355989zbMATH OpenFDO

Authors P. Jeganathan

Publication date 27 January 1999

zbMATH Keywords

autoregressioncointegrationheavy tailed errorslocally asymptotically mixed normal approximationlocally asymptotically quadratic approximationunit roots

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• Asymptotic inference for unstable auto-regressive time series with drifts
• AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
• A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
• Estimation and tests for TGTACH$\bm{(1, 1)}$ models with heavy-tailed errors: A uniform framework

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