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- Title
The empirical process of autoregressive residuals.
- Authors
ENGLER, ERIC; NIELSEN, BENT
- Abstract
Asymptotic theory is developed for the residual empirical process of autoregressive distributed lag models with an intercept and possibly other deterministic terms. The asymptotic distribution is shown not to depend on the location of characteristic roots. This contrasts to situations without intercept where unit roots give rise to non-standard distributions. This is important in applications, as the question of the innovation distribution can be addressed without knowledge of the characteristic roots.
- Subjects
ECONOMETRICS; DISTRIBUTION (Probability theory); ESTIMATION theory; ANALYSIS of variance; MATHEMATICAL models
- Publication
Econometrics Journal, 2009, Vol 12, Issue 2, p367
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1111/j.1368-423X.2009.00282.x