A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
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Publication:4728066
DOI10.1111/j.1467-9892.1987.tb00417.xzbMath0618.62087MaRDI QIDQ4728066
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
autoregressive models; residuals; roots on the unit circle; ordinary least squares regression; AR(p) model; Consistent and asymptotically normal estimates; purely nonstationary models; purely stationary models
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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