A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
作者:
Juha Ahtola,
George C. Tiao,
期刊:
Journal of Time Series Analysis
(WILEY Available online 1987)
卷期:
Volume 8,
issue 1
页码: 15-19
ISSN:0143-9782
年代: 1987
DOI:10.1111/j.1467-9892.1987.tb00417.x
出版商: Blackwell Publishing Ltd
关键词: Asymptotic theory;autoregressive models;ordinary least squares;roots on the unit circle
数据来源: WILEY
摘要:
Abstract.An estimation and inference procedure is proposed for parameters of thepth order autoregressive model with roots both on the unit circle and outside the unit circle. The procedure is motivated by the fact that the parameter estimates of the nonstationary part of the model have higher order consistency properties than the parameter estimates of the stationary part. The procedure allows the use of the known asymptotic distributional results of purely nonstationary models and purely stationary models. Only ordinary least squares routines are needed.
点击下载:
PDF
(203KB)
返 回