The limiting distribution of the autocorrelation coefficient under a unit root

DOI10.1214/AOS/1176349164MaRDI QIDQ688405zbMATH OpenOpenAlexFDO

Authors Karim M. Abadir

Publication date 2 December 1993

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176349164

zbMATH Keywords

time seriesunit rootleast squares estimatorlimiting distributionparabolic cylinder functionshigh order transcendental functionsnormalized autocorrelation coefficient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Asymptotic distribution theory in statistics (62E20) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

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Cited in

(18)

• Autocovariance functions of series and of their transforms
• Testing joint hypotheses when one of the alternatives is one-sided
• A comparison of LS/ML and GMM estimation in a simple AR(1) model
• Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
• Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root
• On the bias of the OLS estimator in a nonstationary dynamic panel data model
• Estimating structural parameters in regression models with adaptive learning
• scientific article; zbMATH DE number 3900000 (Why is no real title available?)
• Unbiased estimation as a solution to testing for random walks
• Density functionals, with an option-pricing application
• Moments in Pearson's four-step uniform random walk problem and other applications of very well-poised generalized hypergeometric series
• The limiting distribution of the t-ratio for the unit root test in an AR(1)
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
• Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
• Asymptotic normality for weighted sums of linear processes
• On the estimation bias in first-order bifurcating autoregressive models
• An introduction to hypergeometric functions for economists

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