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

DOI10.1080/07474939508800330MaRDI QIDQ4860428zbMATHOpenAlexFDO

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

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)

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• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL

Cites work

• scientific article; zbMATH DE number 169642 (Why is no real title available?)
• A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
• A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors
• A functional central limit theorem for weakly dependent sequences of random variables
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Computing the distribution of quadratic forms in normal variables
• The Parameter Inference for Nearly Nonstationary Time Series
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
• Towards a unified asymptotic theory for autoregression

Cited in

(6)

• Inference About the First-Order Autoregressive Coefficient
• Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
• THE BEHAVIOR OF FORECAST ERRORS FROM A NEARLY INTEGRATED AR(1) MODEL AS BOTH SAMPLE SIZE AND FORECAST HORIZON BECOME LARGE
• scientific article; zbMATH DE number 5055318 (Why is no real title available?)
• Local asymptotic distribution related to the AR(1) model with dependent errors
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors

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