DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE

DOI10.1111/J.1467-9892.1987.TB00416.XzbMATH Open0618.62088OpenAlexW1981082410MaRDI QIDQ4728067FDOQ4728067

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.tb00416.x

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zbMATH Keywords

asymptotic distributionsimulationsexampleMonte Carlo studyquadratic formsasymptotic inferenceinnovationsleast squares estimatesskew circulant matrixAR(2) modelPercentage pointsconjugate complex unit rootsseasonal behaviour

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)

Cites Work

• Linear Statistical Inference and its Applications
• Title not available (Why is that?)
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Estimation for autoregressive processes with unit roots
• Testing For Unit Roots: 1
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Title not available (Why is that?)
• Asymptotic distribution of an estimator of the boundary parameter of an unstable process
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case II
• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model

Cited In (29)

• Efficient tests of the seasonal unit root hypothesis
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• Sequential fixed accuracy estimation for nonstationary autoregressive processes
• Decomposition of an autoregressive process into first order processes
• Non-stationary autoregressive processes with infinite variance
• Asymptotic inference for unstable auto-regressive time series with drifts
• THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
• A joint test of fractional cyclic integration and a linear time trend
• A bivariate fractionally cointegrated relationship in the context of cyclical structures
• Numerical distribution functions for seasonal unit root tests
• Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal unit roots in aggregate U.S. data (with discussion)
• On augmented franses tests for seasonal unit roots
• Nearly unstable multidimensional AR processes
• The large sample distribution of the roots of the second order autoregressive polynomial
• Objective priors for causal \(\mathrm{AR}(p)\) with partial autocorrelations
• Estimating a generalized long memory process
• On asymptotic normality of sequential LS-estimate for unstable autoregressive process \(AR(2)\)
• Seasonal integration and cointegration
• Asymptotic inference in regression models with autoregressive errors having roots on the unit circle
• On the nearly nonstationary seasonal time series
• Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)
• A NOTE ON THE PAPER BY H.J. BIERENS: “COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?”
• Estimation of the parameters for unstable AR models
• Modelling long-run trends and cycles in financial time series data
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• Linear nonstationary models -- a review of the work of Professor P.C.B. Phillips
• Two-mode network autoregressive model for large-scale networks

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