Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
نویسندگان
چکیده
منابع مشابه
Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes
In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only require the existence of conditional densities. They are proved for possibly nonstationary and/or non...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2000
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(00)00026-9