Loading...
Please wait, while we are loading the content...
Similar Documents
Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
| Content Provider | Semantic Scholar |
|---|---|
| Author | Burridge, Peter R. Hristova, Daniela S. |
| Copyright Year | 2008 |
| Abstract | A possibly non-stationary autoregressive process, of unknown finite order, with possibly infinite-variance innovations is studied. The Ordinary Least Squares autoregressive parameter estimates are shown to be consistent, and their rate of convergence, which depends on the index of stability, α, is established. We also establish consistency of lag-order selection criteria in the non-stationary case. A small experiment illustrates the relative performance of different lag-length selection criteria in finite samples. |
| Starting Page | 695 |
| Ending Page | 718 |
| Page Count | 24 |
| File Format | PDF HTM / HTML |
| DOI | 10.1111/j.1467-9892.2008.00579.x |
| Volume Number | 29 |
| Alternate Webpage(s) | http://www-users.york.ac.uk/~pb539/Research/jtsa_579.pdf |
| Alternate Webpage(s) | https://www.york.ac.uk/media/economics/documents/conferences/2007/burridge_paper_07.pdf |
| Alternate Webpage(s) | http://www.esg.ac.uk/papers/burridge.pdf |
| Alternate Webpage(s) | https://doi.org/10.1111/j.1467-9892.2008.00579.x |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
