Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
Author:
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference12 articles.
1. On the first order autoregressive process with infinite variance;Chan;Econometric Theory,1989
2. Asymptotic inference for nearly non-stationary AR(1) processes;Chan;Ann. Statist.,1987
3. The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model;Evans;Ann. Statist.,1981
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