Search Results - subject:"Linear process"

OLS limit theory for drifting sequences of parameters on the explosive side of unity

Magdalinos, Tassos; Petrova, Katerina - 2024

A limit theory is developed for the least squares estimator for mildly and purely explosive autoregressions under drifting sequences of parameters with autoregressive roots ρn satisfying ρn Ç ρ ∈ (-É, -1] ∪ [1, É) and n (

Persistent link: https://www.econbiz.de/10015054281

OLS limit theory for drifting sequences of parameters on the explosive side of unity

Magdalinos, Tassos; Petrova, Katerina - 2024

and for the primitive innovations of the linear process, which are allowed to be heteroskedastic L1-mixingales. The paper …) → ∞. Drifting sequences of innovations and initial conditions are also considered. A standard specification of a short memory linear … process for the autoregressive innovations is extended to a triangular array formulation both for the deterministic weights …

Persistent link: https://www.econbiz.de/10015051928

Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises

Zhang, Rongmao; Sin, Chor-yiu; Ling, Shiqing - In: Econometric reviews 44 (2025) 6, pp. 715-744

Persistent link: https://www.econbiz.de/10015554858

Shannon entropy estimation for linear processes

Fortune, Timothy; Sang, Hailin - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 1-13

In this paper, we estimate the Shannon entropy S(f)=-E[log(f(x))] of a one-sided linear process with probability …

Persistent link: https://www.econbiz.de/10012611430

Shannon entropy estimation for linear processes

Fortune, Timothy; Sang, Hailin - In: Journal of risk and financial management : JRFM 13 (2020) 9/205, pp. 1-13

In this paper, we estimate the Shannon entropy S(f)=-E[log(f(x))] of a one-sided linear process with probability …

Persistent link: https://www.econbiz.de/10012384577

Estimation and testing for high- dimensional near unit root time series

Zhang, Bo; Gao, Jiti; Pan, Guangming - 2020

Persistent link: https://www.econbiz.de/10012606951

A near unit root test for high-dimensional nonstationary time series

Zhang, Bo; Gao, Jiti; Pan, Guangming - 2019

Persistent link: https://www.econbiz.de/10012592727

CLT for largest eigenvalues and unit root tests for high-dimensional nonstationary time series

Zhang, Bo; Pan, Guangming; Gao, Jiti - 2016

Persistent link: https://www.econbiz.de/10011781720

Estimation of spatial autoregressions with stochastic weight matrices

Gupta, Abhimanyu - 2015

Persistent link: https://www.econbiz.de/10011393188

Specification Testing in Structural Nonparametric Cointegration

Dong, Chaohua; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2014

This paper proposes two simple and new specification tests based on the use of an orthogonal series for a considerable class of cointegrated time series models with endogeneity and nonsta-tionarity. The paper then establishes an asymptotic theory for each of the proposed tests. The first test is...

Persistent link: https://www.econbiz.de/10010958939