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Characterization of error distributions in time series regression models

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  • Marc Hallin
  • Jana Jureckova
  • Xavier Milhaud

Abstract

Jurecková and Milhaud (1997) recently developed some characterization properties for a broad class of distributions under independent structure and in this way extended the results of Kagan et al. (1973) to the nonnormal distributions. The present paper further extends the characterization properties to a class of linear models with autoregressive, generally nonnormal errors.
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Suggested Citation

  • Marc Hallin & Jana Jureckova & Xavier Milhaud, 1998. "Characterization of error distributions in time series regression models," ULB Institutional Repository 2013/2079, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/2079
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