ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES

Content Provider	Scilit
Author	van der Meer, Tjacco Pap, Gyula van Zuijlen, Martien C. A.
Copyright Year	1999
Description	In this paper nearly unstable AR(p) processes (in other words, models with characteristic roots near the unit circle) are studied. Our main aim is to describe the asymptotic behavior of the least-squares estimators of the coefficients. A convergence result is presented for the general complex-valued case. The limit distribution is given by the help of some continuous time AR processes. We apply the results for real-valued nearly unstable AR(p) models. In this case the limit distribution can be identified with the maximum likelihood estimator of the coefficients of the corresponding continuous time AR processes.
Related Links	http://real.mtak.hu/4692/1/1120607.pdf https://core.ac.uk/download/pdf/11856737.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/3E2E52889B4A32FE571F16A3FA08F7BF/S0266466699152034a.pdf/div-class-title-asymptotic-inference-for-nearly-unstable-ar-span-class-italic-p-span-processes-div.pdf
Ending Page	217
Page Count	34
Starting Page	184
ISSN	02664666
e-ISSN	14694360
DOI	10.1017/s0266466699152034
Journal	Econometric Theory
Issue Number	2
Volume Number	15
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	1999-04-01
Access Restriction	Open
Subject Keyword	Econometric Theory Cybernetical Science
Content Type	Text
Resource Type	Article
Subject	Social Sciences Economics and Econometrics