Regression Theory for Near-Integrated Time Series

DOI10.2307/1911357zbMath0744.62128OpenAlexW2172248403MaRDI QIDQ4711625

Publication date: 25 June 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0781-r.pdf

zbMATH Keywords

convergence properties local alternatives asymptotic theory unit roots vector autoregression mildly explosive processes sample moments least squares estimates time series regressions stationary ARMA processes ARIMA processes models with drift multiple discrete-time stochastic processes near integrated processes noncentral distributions of multivariate tests for unit roots Pitman approach strongly mixing innovations

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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