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On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle

Some asymptotic properties of the least-squares estimator of the parameters of an AR model of order <italic>p, p</italic> ≥ 1, are studied when the roots of the characteristic polynomial of the given AR model are on or near the unit circle. Specifically, the convergence in distribution is established and the corresponding limiting random variables are represented in terms of functionals of suitable Brownian motions.
Year of publication:
1991
Authors: Jeganathan, P.
Published in:
Econometric Theory. - Cambridge University Press. - Vol. 7.1991, 03, p. 269-306
Publisher: Cambridge University Press
Description of contents: Abstract [journals.cambridge.org]
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Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005411887
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