ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES
In this paper nearly unstable AR(p) processes (in other words, models with characteristic roots near the unit circle) are studied. Our main aim is to describe the asymptotic behavior of the least-squares estimators of the coefficients. A convergence result is presented for the general complex-valued...
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| Veröffentlicht in: | Econometric theory 1999-04, Vol.15 (2), p.184-217 |
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| creator | van der Meer, Tjacco Pap, Gyula van Zuijlen, Martien C.A. |
| description | In this paper nearly unstable AR(p) processes
(in other words, models with characteristic roots near the
unit circle) are studied. Our main aim is to describe the
asymptotic behavior of the least-squares estimators of the
coefficients. A convergence result is presented for the
general complex-valued case. The limit distribution is given
by the help of some continuous time AR processes. We apply
the results for real-valued nearly unstable AR(p)
models. In this case the limit distribution can be identified
with the maximum likelihood estimator of the coefficients of
the corresponding continuous time AR processes. |
| doi_str_mv | 10.1017/S0266466699152034 |
| format | Article |
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(in other words, models with characteristic roots near the
unit circle) are studied. Our main aim is to describe the
asymptotic behavior of the least-squares estimators of the
coefficients. A convergence result is presented for the
general complex-valued case. The limit distribution is given
by the help of some continuous time AR processes. We apply
the results for real-valued nearly unstable AR(p)
models. In this case the limit distribution can be identified
with the maximum likelihood estimator of the coefficients of
the corresponding continuous time AR processes.</description><identifier>ISSN: 0266-4666</identifier><identifier>EISSN: 1469-4360</identifier><identifier>DOI: 10.1017/S0266466699152034</identifier><language>eng</language><publisher>New York: Cambridge University Press</publisher><subject>Coefficients ; Complex numbers ; Econometrics ; Economic models ; Estimators ; Inference ; Mathematical analysis ; Monte Carlo simulation ; Parametric models ; Perceptron convergence procedure ; Polynomials ; Random variables ; Samples ; Simulation ; Step functions ; Time series</subject><ispartof>Econometric theory, 1999-04, Vol.15 (2), p.184-217</ispartof><rights>1999 Cambridge University Press</rights><rights>Copyright 1999 Cambridge University Press</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c510t-496fe3ae4bfd157e2f2cb3986658294d8385a96266658f412776381ccba795003</citedby></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/3533039$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.cambridge.org/core/product/identifier/S0266466699152034/type/journal_article$$EHTML$$P50$$Gcambridge$$H</linktohtml><link.rule.ids>164,314,776,780,799,27848,27903,27904,55606,57995,58228</link.rule.ids></links><search><creatorcontrib>van der Meer, Tjacco</creatorcontrib><creatorcontrib>Pap, Gyula</creatorcontrib><creatorcontrib>van Zuijlen, Martien C.A.</creatorcontrib><title>ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES</title><title>Econometric theory</title><addtitle>Econom. Theory</addtitle><description>In this paper nearly unstable AR(p) processes
(in other words, models with characteristic roots near the
unit circle) are studied. Our main aim is to describe the
asymptotic behavior of the least-squares estimators of the
coefficients. A convergence result is presented for the
general complex-valued case. The limit distribution is given
by the help of some continuous time AR processes. We apply
the results for real-valued nearly unstable AR(p)
models. In this case the limit distribution can be identified
with the maximum likelihood estimator of the coefficients of
the corresponding continuous time AR processes.</description><subject>Coefficients</subject><subject>Complex numbers</subject><subject>Econometrics</subject><subject>Economic models</subject><subject>Estimators</subject><subject>Inference</subject><subject>Mathematical analysis</subject><subject>Monte Carlo simulation</subject><subject>Parametric models</subject><subject>Perceptron convergence procedure</subject><subject>Polynomials</subject><subject>Random variables</subject><subject>Samples</subject><subject>Simulation</subject><subject>Step functions</subject><subject>Time series</subject><issn>0266-4666</issn><issn>1469-4360</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1999</creationdate><recordtype>article</recordtype><sourceid>K30</sourceid><recordid>eNp1kF1LAkEUhocoyKwfEHSxEERdbM33x-W6rSaY2u4aeDWs62xo6trMCvXvW1Ekiq4OnOd9Dw8HgEsE7xFE4iGBmHPKOVcKMQwJPQINRLnyKeHwGDS22N_yU3Dm3BxChJUgDSCDZPw8TAdpN_S6_XYUR_0w8tqD2OtHQdwbe6N-kgatXuQF8e36zhvGgzBKkig5BydFtnDmYj-bYNSO0vDJ7w063TDo-TlDsPKp4oUhmaGTYoqYMLjA-YQoyTmTWNGpJJJlitd29aKgCAvBiUR5PsmEYhCSJrjZ3V3b8mNjXKWXM5ebxSJbmXLjNJGCKKxwHbz-FZyXG7uq3TRijEIhmKB1Cu1SuS2ds6bQaztbZvZLI6i3n9R_Pll3rnaduatKeygQRggkqsb-Ds9cZT4POLPvmgsimOadFz1syddHSVO9zZO9Qrac2Nn0zfww_VfiG2aFhWI</recordid><startdate>19990401</startdate><enddate>19990401</enddate><creator>van der Meer, Tjacco</creator><creator>Pap, Gyula</creator><creator>van Zuijlen, Martien C.A.</creator><general>Cambridge University Press</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>HAGHG</scope><scope>IOIBA</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19990401</creationdate><title>ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES</title><author>van der Meer, Tjacco ; Pap, Gyula ; van Zuijlen, Martien C.A.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c510t-496fe3ae4bfd157e2f2cb3986658294d8385a96266658f412776381ccba795003</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1999</creationdate><topic>Coefficients</topic><topic>Complex numbers</topic><topic>Econometrics</topic><topic>Economic models</topic><topic>Estimators</topic><topic>Inference</topic><topic>Mathematical analysis</topic><topic>Monte Carlo simulation</topic><topic>Parametric models</topic><topic>Perceptron convergence procedure</topic><topic>Polynomials</topic><topic>Random variables</topic><topic>Samples</topic><topic>Simulation</topic><topic>Step functions</topic><topic>Time series</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>van der Meer, Tjacco</creatorcontrib><creatorcontrib>Pap, Gyula</creatorcontrib><creatorcontrib>van Zuijlen, Martien C.A.</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>Periodicals Index Online Segment 12</collection><collection>Periodicals Index Online Segment 29</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Econometric theory</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>van der Meer, Tjacco</au><au>Pap, Gyula</au><au>van Zuijlen, Martien C.A.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES</atitle><jtitle>Econometric theory</jtitle><addtitle>Econom. Theory</addtitle><date>1999-04-01</date><risdate>1999</risdate><volume>15</volume><issue>2</issue><spage>184</spage><epage>217</epage><pages>184-217</pages><issn>0266-4666</issn><eissn>1469-4360</eissn><abstract>In this paper nearly unstable AR(p) processes
(in other words, models with characteristic roots near the
unit circle) are studied. Our main aim is to describe the
asymptotic behavior of the least-squares estimators of the
coefficients. A convergence result is presented for the
general complex-valued case. The limit distribution is given
by the help of some continuous time AR processes. We apply
the results for real-valued nearly unstable AR(p)
models. In this case the limit distribution can be identified
with the maximum likelihood estimator of the coefficients of
the corresponding continuous time AR processes.</abstract><cop>New York</cop><pub>Cambridge University Press</pub><doi>10.1017/S0266466699152034</doi><tpages>34</tpages><oa>free_for_read</oa></addata></record> |
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| ispartof | Econometric theory, 1999-04, Vol.15 (2), p.184-217 |
| issn | 0266-4666 1469-4360 |
| language | eng |
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| source | Jstor Complete Legacy; Periodicals Index Online; Cambridge University Press Journals Complete |
| subjects | Coefficients Complex numbers Econometrics Economic models Estimators Inference Mathematical analysis Monte Carlo simulation Parametric models Perceptron convergence procedure Polynomials Random variables Samples Simulation Step functions Time series |
| title | ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES |
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