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A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
Author(s) -
Ahtola Juha,
Tiao George C.
Publication year - 1987
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1987.tb00417.x
Subject(s) - autoregressive model , mathematics , unit circle , unit root , inference , consistency (knowledge bases) , strong consistency , ordinary least squares , least squares function approximation , econometrics , statistics , mathematical analysis , computer science , geometry , estimator , artificial intelligence
. An estimation and inference procedure is proposed for parameters of the p th order autoregressive model with roots both on the unit circle and outside the unit circle. The procedure is motivated by the fact that the parameter estimates of the nonstationary part of the model have higher order consistency properties than the parameter estimates of the stationary part. The procedure allows the use of the known asymptotic distributional results of purely nonstationary models and purely stationary models. Only ordinary least squares routines are needed.