IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v17y2001i02p357-385_17.html
   My bibliography  Save this article

Unit Root Seasonal Autoregressive Models With A Polynomial Trend Of Higher Degree

Author

Listed:
  • Nabeya, Seiji

Abstract

Seasonal autoregressive models with a polynomial trend of higher degee are treated. In the unit root case, the limiting distribution of the normalized least squares estimator for the autoregressive parameter and that of the corresponding t-statistic are discussed as the length of the sample period tends to infinity. In the case where the polynomial trend has the second or third degree, the joint moment generating functions associated with these limiting distributions are derived, and some simulation results are reported. The asymptotic behavior of these limiting distributions is discussed when the polynomial degree or the number of seasons tends to infinity.

Suggested Citation

  • Nabeya, Seiji, 2001. "Unit Root Seasonal Autoregressive Models With A Polynomial Trend Of Higher Degree," Econometric Theory, Cambridge University Press, vol. 17(2), pages 357-385, April.
    • Handle: RePEc:cup:etheor:v:17:y:2001:i:02:p:357-385_17
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S026646660117204X/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tanaka, Katsuto & 田中, 勝人, 2011. "Linear Nonstationary Models : A Review of the Work of Professor P.C.B. Phillips," Discussion Papers 2011-05, Graduate School of Economics, Hitotsubashi University.
    2. Luis E. Nieto-Barajas, 2022. "Dependence on a collection of Poisson random variables," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(1), pages 21-39, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:17:y:2001:i:02:p:357-385_17. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.