Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors

DOI10.1080/07474939508800330zbMATH Open0838.62083OpenAlexW1549301334MaRDI QIDQ4860428FDOQ4860428

Authors: Seiji Nabeya, Pierre Perron 

Publication date: 6 June 1996

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939508800330

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zbMATH Keywords

characteristic functionleast-squares estimatorasymptotic approximationsAR(1) processMA(1) processFredholm determinant approachnear-integrated autoregressive modelnear-integrated modelsnearly stationary models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Numerical integration (65D30)

Cites Work

• Computing the distribution of quadratic forms in normal variables
• Asymptotic inference for nearly nonstationary AR(1) processes
• Towards a unified asymptotic theory for autoregression
• A functional central limit theorem for weakly dependent sequences of random variables
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors
• A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
• The Parameter Inference for Nearly Nonstationary Time Series
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
• Title not available (Why is that?)

Cited In (6)

• THE BEHAVIOR OF FORECAST ERRORS FROM A NEARLY INTEGRATED AR(1) MODEL AS BOTH SAMPLE SIZE AND FORECAST HORIZON BECOME LARGE
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Title not available (Why is that?)
• Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
• Inference About the First-Order Autoregressive Coefficient

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