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Large sample estimation in nonstationary autoregressive processes with multiple observations

*Corresponding author for this work
  • University of Georgia
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Abstract

The asymptotic distributions of the least-squares estimators of the parameters in autoregressive processes with multiple observations are derived for the two nonstationary cases, viz., (a) the explosive case and (b) the unstable case. It is shown that nonstandard limit distributions are obtained.

Publication Information

Output type

Scholary Output:
Contribution to journal
Article
 Peer-review

Original language

English (US)

Pages from-to (Number of pages)

Pages 331-354 (24 pages)

Journal (Volume, Issue Number)

Stochastic Processes and their Applications (Volume 54, Issue 2)

Publication milestones

  • Published - 12/1994

Publication status

Published - 12/1994

ISSN

0304-4149

Publication IDs

  • Scopus: 43949156039

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Funding Details

I.V. Basawa’s work was partially supported by grants from the Office of Naval Research and from the National Science Foundation. We thank the referee for a careful reading and constructive suggestions.