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Asymptotics of regressions with stationary and nonstationary residuals

Maller, Ross


A comprehensive description is given of the limiting behaviour of normalised pseudo-MLEs of the coefficients in a discrete-time autoregressive process, with nonstochastic regressors, for all cases: stationary, unit root and explosive situations. The residuals are assumed to be independent and identically distributed, with finite variance, and we allow a wide class of regressors: they need only be uniformly asymptotically negligible and not too regular, in a certain sense. Under these...[Show more]

CollectionsANU Research Publications
Date published: 2003
Type: Journal article
Source: Stochastic Processes and their Applications
DOI: 10.1016/S0304-4149(02)00263-6


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