ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES

DOI10.1017/S0266466699152034MaRDI QIDQ4512731zbMATH OpenOpenAlexFDO

Authors T. van der Meer, Gyula Pap, 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

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)

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• Distribution asymptotique de l'estimateur des moindres carrés. cas des modèles arx(p,s) instables
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• Limiting distributions of least squares estimates of unstable autoregressive processes

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