ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES

DOI10.1017/S0266466699152034zbMATH Open0967.62072OpenAlexW2145461938MaRDI QIDQ4512731FDOQ4512731

Gyula Pap, T. van der Meer, Martien C. A. van Zuijlen

Publication date: 2 September 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466699152034

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zbMATH Keywords

least-squares estimatorsunstable AR(p) processes

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)

Cited In (29)

• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
• Asymptotic inference for nearly nonstationary AR(1) processes
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• Nearly nonstationary AR processes with mixing innovaton
• Asymptotic inference for unstable auto-regressive time series with drifts
• Regression quantiles for unstable autoregressive models
• Asymptotic behavior of unstable INAR(\(p\)) processes
• Extreme Spectra of Var Models and Orders of Near‐Cointegration
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Nearly unstable AR models with coefficient matrices in Jordan normal form
• On the least squares estimator in a nearly unstable sequence of stationary spatial AR models
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Asymptotic inference for a nearly unstable sequence of stationary spatial AR models
• Asymptotic properties of nearly unstable multivariate AR processes.
• The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes
• Asymptotics for stationary very nearly unit root processes
• Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets
• Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
• Asymptotic inference for nearly unstable INAR(1) models
• Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• Testing for the extent of instability in nearly unstable processes
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• Distribution asymptotique de l'estimateur des moindres carrés. cas des modèles arx(p,s) instables
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
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• Approximate confidence sets for a stationary \(AR(p)\) process
• On the Distribution of the Nearly Unstable AR(1) Process with Heavy Tails
• Limiting distributions of least squares estimates of unstable autoregressive processes

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