DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
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Cites work
- scientific article; zbMATH DE number 3683507 (Why is no real title available?)
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- Asymptotic distribution of an estimator of the boundary parameter of an unstable process
- Consistency properties of least squares estimates of autoregressive parameters in ARMA models
- Estimation for autoregressive processes with unit roots
- Linear Statistical Inference and its Applications
- On the Statistical Treatment of Linear Stochastic Difference Equations
- Testing For Unit Roots: 1
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- 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
(28)- Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)
- Efficient tests of the seasonal unit root hypothesis
- Decomposition of an autoregressive process into first order processes
- Estimation of the parameters for unstable AR models
- Sequential fixed accuracy estimation for nonstationary autoregressive processes
- Non-stationary autoregressive processes with infinite variance
- THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
- Two-mode network autoregressive model for large-scale networks
- A joint test of fractional cyclic integration and a linear time trend
- A bivariate fractionally cointegrated relationship in the context of cyclical structures
- ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
- Asymptotic inference for unstable auto-regressive time series with drifts
- On the nearly nonstationary seasonal time series
- Seasonal cointegration. The Japanese consumption function (with discussion)
- Seasonal unit roots in aggregate U.S. data (with discussion)
- Asymptotic inference in regression models with autoregressive errors having roots on the unit circle
- On augmented franses tests for seasonal unit roots
- A NOTE ON THE PAPER BY H.J. BIERENS: “COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?”
- Seasonal integration and cointegration
- Numerical distribution functions for seasonal unit root tests
- Objective priors for causal \(\mathrm{AR}(p)\) with partial autocorrelations
- The large sample distribution of the roots of the second order autoregressive polynomial
- Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
- Nearly unstable multidimensional AR processes
- Linear nonstationary models -- a review of the work of Professor P.C.B. Phillips
- Estimating a generalized long memory process
- Modelling long-run trends and cycles in financial time series data
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
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