Large sample estimation in nonstationary autoregressive processes with multiple observations

The asymptotic distributions of the least-squares estimators of the parameters in autoregressive processes with multiple observations are derived for the two nonstationary cases, viz., (a) the explosive case and (b) the unstable case. It is shown that nonstandard limit distributions are obtained.

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Year of publication:	1994
Authors:	Sethuraman, S. ; Basawa, I. V.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 54.1994, 2, p. 331-354
Publisher:	Elsevier
Keywords:	Autoregression Nonstationary processes Explosive process Unstable process Intraclass correlation Least-squares estimation Asymptotic distributions Nonergodic models

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872786