Asymptotic Properties of OLS Estimates in Autoregressions with Bounded or Slowly Growing Deterministic Trends

DOI10.1080/03610920500476549MaRDI QIDQ5201508zbMATH OpenOpenAlexFDO

Authors Kairat T. Mynbaev

Publication date 19 April 2006

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/18448/1/MPRA_paper_18448.pdf

zbMATH Keywords

autoregressiondeterministic trendOLS estimator asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances
• Dependent central limit theorems and invariance principles
• Inference in Linear Time Series Models with some Unit Roots
• Nonlinear Econometric Models with Deterministically Trending Variables
• On the $L_p$-Convergence for $n^{-1/p} S_n, 0 < p < 2^1$
• Seasonal Moving‐average Unit Root Tests in the Presence of a Linear Trend
• Trend stationarity in the \(I(2)\) cointegration model.
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Cited in

(6)

• Asymptotic distribution of the OLS estimator for a mixed spatial model
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• Regression with slowly varying regressors and nonlinear trends
• Regression with integrated regressors

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