Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)-Reference-Cited by-同舟云学术

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Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)

Published:2017-06 Issue: Volume:125 Page:220-226
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Yabe Ryota

Funder

Japan Society for the Promotion of Science (JSPS)

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference18 articles.

1. Why do noninvertible estimated moving averages occur?;Anderson;J. Time Series Anal.,1986

2. Time Series Analysis;Box,2013

3. Maximum likelihood estimation for MA(1) processes with a root on or near the unit circle;Davis;Econom. Theory,1996

4. Uniform limit theory for stationary autoregression;Giraitis;J. Time Series Anal.,2006

5. Mean and autocovariance function estimation near the boundary of stationarity;Giraitis;J. Econometrics,2012

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