ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES

DOI10.1017/S0266466699152034zbMath0967.62072OpenAlexW2145461938MaRDI QIDQ4512731

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

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)

Related Items (8)

Regression quantiles for unstable autoregressive models ⋮ Nearly unstable family of stochastic processes given by stochastic differential equations with time delay ⋮ Asymptotic inference for \(AR(1)\) processes with (nonnormal) stable errors ⋮ The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes ⋮ On the Distribution of the Nearly Unstable AR(1) Process with Heavy Tails ⋮ Asymptotic behavior of unstable INAR(\(p\)) processes ⋮ Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets ⋮ Extreme Spectra of Var Models and Orders of Near‐Cointegration

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