A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE

DOI10.1111/J.1467-9892.1987.TB00417.XzbMATH Open0618.62087OpenAlexW1969768851MaRDI QIDQ4728066FDOQ4728066

Authors: Juha Ahtola, George C. Tiao 

Publication date: 1987

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00417.x

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zbMATH Keywords

residualsautoregressive modelsroots on the unit circleordinary least squares regressionAR(p) modelConsistent and asymptotically normal estimatespurely nonstationary modelspurely stationary models

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Testing for Unit Roots in Seasonal Time Series
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Estimation for autoregressive processes with unit roots

Cited In (13)

• Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
• Comparing ARMA processes with roots of modulus 1 and polynomial regression
• Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
• On augmented franses tests for seasonal unit roots
• Gaussian inference in general AR(1) models based on difference
• Inference of the second order autoregressive model with unit roots
• Title not available (Why is that?)
• Estimating a generalized long memory process
• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• Asymptotics of regressions with stationary and nonstationary residuals.
• Asymptotic inference in regression models with autoregressive errors having roots on the unit circle
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• A short-cut derivation for the solution of autoregressive models from sharp algebraic arguments

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