Search Results - subject:"linear process"

Weak convergence in the near unit root setting

Bailey, N.; Giraitis, L. - In: Statistics & Probability Letters 83 (2013) 5, pp. 1411-1415

We establish asymptotic normality for sums of triangular arrays of near integrated linear processes with martingale difference innovations. The results are obtained under minimal conditions. We also obtain weak convergence of the corresponding partial sum processes. The results are applicable to...

Persistent link: https://www.econbiz.de/10010662318

Mean and autocovariance function estimation near the boundary of stationarity

Giraitis, Liudas; Phillips, Peter C.B. - In: Journal of Econometrics 169 (2012) 2, pp. 166-178

We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of …

Persistent link: https://www.econbiz.de/10010664694

Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices

Hristova, Daniela - Society for Computational Economics - SCE - 2004

We estimate a unit root bilinear process using the Maximum Likelihood method with log-likelihood function constructed by means of the Kalman filter, and evaluate the finite sample properties of this estimator. One hundred and six world-wide price series are tested for unit root bilinearity...

Persistent link: https://www.econbiz.de/10005706513

Robust methods for detecting multiple level breaks in autocorrelated time series

Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. … - Granger Centre for Time Series Econometrics, School of … - 2011

on nuisance parameters which derive from the lag parameters characterising the linear process. Moreover, the rates on the …

Persistent link: https://www.econbiz.de/10010704586

Local Whittle likelihood estimators and tests for non-Gaussian stationary processes

Naito, Tomohito; Asai, Kohei; Amano, Tomoyuki; … - In: Statistical Inference for Stochastic Processes 13 (2010) 3, pp. 163-174

Persistent link: https://www.econbiz.de/10008775916

Ratio test for variance change point in linear process with long memory

Zhao, Wenzhi; Tian, Zheng; Xia, Zhiming - In: Statistical Papers 51 (2010) 2, pp. 397-407

Persistent link: https://www.econbiz.de/10008456178

Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes

Demetrescu, Matei - In: Journal of Time Series Econometrics 1 (2009) 2

110, 261-292) is examined under the assumption of an invertible general linear process with a weak summability condition … augmented Dickey-Fuller test, with the exception of the conditions imposed on the innovations of the general linear process …

Persistent link: https://www.econbiz.de/10014615132

Resampling in the frequency domain of time series to determine critical values for change-point tests

Kirch, Claudia - In: Statistics & Decisions 25 (2007) 3, pp. 237-261

Summary We study a model with an abrupt change in the mean and dependent errors that form a linear process. Different …

Persistent link: https://www.econbiz.de/10014621341

Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices

Hristova, Daniela - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 1, pp. 1199-1199

We estimate a unit root bilinear process using the Maximum Likelihood method with log-likelihood function constructed by means of the Kalman filter, and evaluate the finite sample properties of this estimator.One hundred and five world-wide price series are tested for unit root bilinearity...

Persistent link: https://www.econbiz.de/10004966256

A central limit theorem for self-normalized sums of a linear process

Juodis, Mindaugas; Rackauskas, Alfredas - In: Statistics & Probability Letters 77 (2007) 15, pp. 1535-1541

Let be a linear process, where and [var epsilon]t, t[set membership, variant]Z, are i.i.d. r.v.'s in the domain of …

Persistent link: https://www.econbiz.de/10005319800