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Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters

Citations

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Cited by:

  1. Galtchouk, L. & Konev, V., 2004. "On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(p)," Journal of Multivariate Analysis, Elsevier, vol. 91(2), pages 119-142, November.
  2. Firmin Doko Tchatoka & Qazi Haque, 2023. "On bootstrapping tests of equal forecast accuracy for nested models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1844-1864, November.
  3. Lars Hougaard Hansen & Bent Nielsen & Jens Perch Nielsen, 2004. "Two sided analysis of variance with a latent time series," Economics Papers 2004-W25, Economics Group, Nuffield College, University of Oxford.
  4. repec:ebl:ecbull:v:3:y:2007:i:38:p:1-11 is not listed on IDEAS
  5. Alessandro Casini & Pierre Perron, 2015. "Continuous Record Asymptotics for Structural Change Models," Boston University - Department of Economics - Working Papers Series WP2018-010, Boston University - Department of Economics, revised Nov 2017.
  6. Victor V. Konev & Sergey E. Vorobeychikov, 2022. "Fixed accuracy estimation of parameters in a threshold autoregressive model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(4), pages 685-711, August.
  7. Victor Konev & Bogdan Nazarenko, 2020. "Sequential fixed accuracy estimation for nonstationary autoregressive processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 235-264, February.
  8. Norbert Christopeit & Michael Massmann, 2017. "Strong consistency of the least squares estimator in regression models with adaptive learning," WHU Working Paper Series - Economics Group 17-07, WHU - Otto Beisheim School of Management.
  9. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January.
  10. Mohamed Boutahar, 2002. "General Autoregressive Models with Long-Memory Noise," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 321-333, October.
  11. João Lita da Silva, 2014. "Strong consistency of least squares estimates in multiple regression models with random regressors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(3), pages 361-375, April.
  12. Galtchouk, Leonid & Konev, Victor, 2010. "On asymptotic normality of sequential LS-estimate for unstable autoregressive process AR(2)," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2616-2636, November.
  13. Alessandro Casini & Pierre Perron, 2018. "Continuous Record Asymptotics for Change-Points Models," Papers 1803.10881, arXiv.org, revised Nov 2021.
  14. Haeran Cho & Piotr Fryzlewicz, 2024. "Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(3), pages 479-494, May.
  15. Norbert Christopeit & Michael Massmann, 2018. "Strong consistency of the least squares estimator in regression models with adaptive learning," Tinbergen Institute Discussion Papers 18-045/III, Tinbergen Institute.
  16. Bercu, B., 2004. "On the convergence of moments in the almost sure central limit theorem for martingales with statistical applications," Stochastic Processes and their Applications, Elsevier, vol. 111(1), pages 157-173, May.
  17. Proïa, Frédéric, 2013. "Further results on the h-test of Durbin for stable autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 77-101.
  18. Mohamad Kazem Shirani Faradonbeh & Ambuj Tewari & George Michailidis, 2017. "Finite Time Identification in Unstable Linear Systems," Papers 1710.01852, arXiv.org, revised Jun 2018.
  19. Monsour, Michael J., 2016. "Decomposition of an autoregressive process into first order processes," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 295-314.
  20. Jamel JOUINI & Mohamed BOUTAHAR, 2007. "Spuriousness of information criteria when selecting the number of breaks in stationary AR(p) process," Economics Bulletin, AccessEcon, vol. 3(38), pages 1-11.
  21. Cho, Haeran & Fryzlewicz, Piotr, 2024. "Multiple change point detection under serial dependence: wild contrast maximisation and gappy Schwarz algorithm," LSE Research Online Documents on Economics 120085, London School of Economics and Political Science, LSE Library.
  22. Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, vol. 122(1), pages 137-183, September.
  23. Monsour, Michael J. & Mikulski, Piotr W., 1998. "On limiting distributions in explosive autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 37(2), pages 141-147, February.
  24. Marie Badreau & Frédéric Proïa, 2023. "Consistency and asymptotic normality in a class of nearly unstable processes," Statistical Inference for Stochastic Processes, Springer, vol. 26(3), pages 619-641, October.
  25. Ye Chen & Jian Li & Qiyuan Li, 2023. "Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 910-937, August.
  26. Peter C.B. Phillips & Werner Ploberger, 1992. "Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics," Cowles Foundation Discussion Papers 1038, Cowles Foundation for Research in Economics, Yale University.
  27. B. Nielsen & N. Shephard, 2003. "Likelihood analysis of a first‐order autoregressive model with exponential innovations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 337-344, May.
  28. Truong-Van, B., 1997. "Iterated logarithm law for sample generalized partial autocorrelations," Statistics & Probability Letters, Elsevier, vol. 33(2), pages 217-223, April.
  29. Datta, Somnath, 1995. "Limit theory and bootstrap for explosive and partially explosive autoregression," Stochastic Processes and their Applications, Elsevier, vol. 57(2), pages 285-304, June.
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