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- Title
Parameter inference for a nearly nonstationary first-order autoregressive model.
- Authors
AHTOLA, J.; TIAO, G. C.
- Abstract
The finite sample behaviour of the score function in a first-order autoregression is investigated. An object is to interpret the transition of the distribution of the score when the model approaches a nonstationary situation with a unit root. A framework is presented wherein the nonnormality of the score is clearly seen. Also, a simple interpretation for the behaviour of the distribution in terms of two chi-squared variables is given. Approximate finite sample distributions for practical use are also proposed.
- Publication
Biometrika, 1984, Vol 71, Issue 2, p263
- ISSN
0006-3444
- Publication type
Article