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advantage that a Gaussian central limit theory applies and is continuous as the autoregressive coefficient passes through unity …
Persistent link: https://www.econbiz.de/10014060251
Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on Lv(1) estimation asymptotics in conjunction with non-parametric kernel density...
Persistent link: https://www.econbiz.de/10013159229