Asymptotic Inference for the Weak Stationary Double AR(1) Model

Show more

References

[1] R. F. Engle, “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of Inflationary Expectations,” Econometrica, Vol. 50, 1982, pp. 987-1007.
doi:10.2307/1912773

[2] A. A. Weiss, “ARMA Models with ARCH Errors,” Journal of Time Series Analysis, Vol. 3, 1984, pp. 129- 143. doi:10.1111/j.1467-9892.1984.tb00382.x

[3] D. Guégan and J. Diebolt, “Probabilistic Properties of the β-ARCH-Model,” Statistica Sininca, Vol. 4, 1994, pp. 71-87.

[4] M. Borkovec and C. Klüppelberg, “The Tail of the Stationary Distribution of an Autoregressive Process with ARCH(1) Errors,” Annals of Applied Probability, Vol. 11, No. 4, 1998, pp. 1220-1241.

[5] S. Ling, “Estimation and Testing Stationarity for Double-Auto Regressive Models,” Journal of the Royal Statistical Society Series B, Vol. 66, No. 1, 2004, pp. 63-78.
doi:10.1111/j.1467-9868.2004.00432.x

[6] A. Wald, “Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large,” Transactions of the American Mathematical Society, Vol. 54, No. 3, 1943, pp. 426-482.
doi:10.1090/S0002-9947-1943-0012401-3

[7] T. Di Ciccio, C. Field and D. A. S. Fraser, “Approxmation of Marginal Tail Probabilities and Inference for Scalar Parameters,” Biometrika, Vol. 77, No. 1, 1990, pp. 77-95. doi:10.1093/biomet/77.1.77

[8] O. E. Barndorff-Nielsen, “Inference on Full and Partial Parameters Based on the Standardized Signed Log-like- lihood Ratio,” Biometrika, Vol. 73, 1986, pp. 307-322.

[9] O. E. Barndorff-Nielsen, “Modified Signed Log-Like- lihood Ratio Statistic,” Biometrika, Vol. 78, No. 3, 1991, pp. 557-563. doi:10.1093/biomet/78.3.557

[10] D. A. S. Fraser and N. Reid, “Ancillaries and Third-Order Significance,” Utilitas Mathematica, Vol. 47, 1995, pp. 33-53.

[11] D. Ling, “A Double AR(p) Model: Structure and Estimation,” Statistica Sinica, Vol. 17, 2007, pp. 161-175.

[12] S. Ling and D. Li, “Asymptotic Inference for a Nonstationary Double AR(1) Model,” Biometrika, Vol. 95, No. 1, 2008, pp. 257-263. doi:10.1093/biomet/asm084

[13] O. D. Anderson, “Time Series Analysis and Forecasting: the Box-Jenkins Approach,” Butterworth, 1976.