Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
Author:
Funder
NNSF of China
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s10260-017-0406-y/fulltext.html
Reference25 articles.
1. Chan NH (1990) Inference for near-integrated time series with infinite variance. J Am Stat Assoc 85:1069–1074
2. Chan NH (2009) Time series with roots on or near the unit circle. In: Andersen TG, Davis RA, Kreiss J, Mikosch T (eds) Springer handbook of financial time series. Springer, Berlin, pp 696–707
3. Chan NH, Wei CZ (1987) Asymptotic inference for nearly nonstationary autoregressive time series with infinite variance. Stat Sin 16:15–28
4. Chan NH, Peng L (2005) Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors. Biometrika 92:477–484
5. Chan NH, Li DY, Peng L (2012) Toward a unified interval estimation of autoregressions. Econ Theory 28:705–717
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