Regression Theory for Near-Integrated Time Series (Q4711625)

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scientific article; zbMATH DE number 2890
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Regression Theory for Near-Integrated Time Series
scientific article; zbMATH DE number 2890

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    Regression Theory for Near-Integrated Time Series (English)
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    25 June 1992
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    Pitman approach
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    strongly mixing innovations
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    near integrated processes
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    asymptotic theory
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    multiple discrete-time stochastic processes
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    ARIMA processes
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    stationary ARMA processes
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    mildly explosive processes
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    local alternatives
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    unit roots
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    vector autoregression
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    convergence properties
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    sample moments
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    least squares estimates
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    noncentral distributions of multivariate tests for unit roots
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    models with drift
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    time series regressions
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