Short-memory linear processes and econometric applications.

DOI10.1002/9781118007686MaRDI QIDQ3067748zbMATH OpenOpenAlexFDO

Authors Kairat T. Mynbaev

Publication date 13 January 2011

Full work available at URL https://doi.org/10.1002/9781118007686

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cited in

(6)

• Uniform integrability of the OLS estimators, and the convergence of their moments
• Weak convergence of linear and quadratic forms and related statements on \(L_p\)-approximability
• Asymptotic efficiency of the OLS estimator with singular limiting sample moment matrices
• Regressions with asymptotically collinear regressors
• Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
• scientific article; zbMATH DE number 7240528 (Why is no real title available?)

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