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

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• Regression quantiles for unstable autoregressive models
• Unified asymptotic theory for nearly unstable AR(\(p\)) processes
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• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• Approximate confidence sets for a stationary \(AR(p)\) process
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• On the distribution of the nearly unstable AR(1) process with heavy tails
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• scientific article; zbMATH DE number 1203363 (Why is no real title available?)
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• Asymptotic inference for nearly unstable INAR(1) models
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• Nearly unstable processes: a prediction perspective
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
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• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Extreme Spectra of Var Models and Orders of Near‐Cointegration
• Asymptotic behavior of unstable INAR(\(p\)) processes
• Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets
• The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
• Testing for the extent of instability in nearly unstable processes
• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay

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