Asymptotics of regressions with stationary and nonstationary residuals
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]
|Collections||ANU Research Publications|
|Source:||Stochastic Processes and their Applications|
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