Markovian Progresses, 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.

Year of publication:	2000
Authors:	Dufour, J.M. ; Torres, O.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	TIME SERIES \| ECONOMIC MODELS \| TESTS \| SAMPLING

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Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	34 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C42 - Survey Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005729533