Analysis of Models with Complex Roots on the Unit Circle-Reference-Cited by-同舟云学术

Analysis of Models with Complex Roots on the Unit Circle

Published:2008 Issue:1 Volume:38 Page:145-155
ISSN:1348-6365
Container-title:JOURNAL OF THE JAPAN STATISTICAL SOCIETY
language:en
Short-container-title:JJSS

Author:

Tanaka Katsuto¹

Affiliation:

1. Department of Economics, Hitotsubashi University

Publisher

The Japan Statistical Society

Link

https://www.jstage.jst.go.jp/article/jjss/38/1/38_1_145/_pdf

Reference7 articles.

1. (1)Ahtola, J. and Tiao, G. C. (1987). Distributions of least squares estimators of autoregressive parameters for a process with complex roots on the unit circle, J. Time Ser. Anal., 8, 1–14.

2. (2)Akaike, H. (1973). Information theory and an extension of the maximum likelihood principle, 2nd International Symposium on Information Theory (eds. B. N. Petrov and F. Csaki), 267–281, Akademiai Kiado, Budapest.

3. (3)Chan, N. H. and Wei, C. Z. (1988). Limiting distributions of least squares estimates of unstable autoregressive processes, Ann. Statist., 16, 367–401.

4. (4)Helland, I. S. (1982). Central limit theorems for martingales with discrete or continuous time, Scand. J. Statist., 9, 79–94.

5. (5)Hylleberg, S., Engle, R. F., Granger, C. W. J. and Yoo, B. S. (1990). Seasonal integration and cointegration, J. Econometrics, 44, 215–238.

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