The empirical process of autoregressive residuals
نویسندگان
چکیده
منابع مشابه
The empirical process of autoregressive residuals
The asymptotic theory of the residual empirical process of autoregressions with an intercept is developed. In contrast to situations without intercept the asymptotic distribution does not depend on the location of the characteristic roots. This is important in applications, as the question of the distribution of the innovations then can be addressed without having to locate the characteristic r...
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When fitting, by least squares, a linear model (with an intercept term) with p parameters to n data points, the asymptotic behavior of the residual empirical process is shown to be the same as in the single sample problem provided p3 log2 p /n → 0 for any error density having finite variance and a bounded first derivative. No further conditions are imposed on the sequence of design matrices. Th...
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ژورنال
عنوان ژورنال: Econometrics Journal
سال: 2009
ISSN: 1368-4221,1368-423X
DOI: 10.1111/j.1368-423x.2009.00282.x