Dufour, Jean-Marie; Neifar, Malika - Centre Interuniversitaire de Recherche en Analyse des … - 2003
In this paper, we consider a linear regression model with Gaussian autoregressive errors of order p = 2, which may be nonstationary. Exact inference methods (tests and confidence region) are developed for the autoregressive parameters and the regression coefficients. We generalize the method...
