In this paper, we consider a linear regression model with Gaussian autoregressive errors of order p = 2, which may be nonstationary. Exact inference methods (tests and confidence regions) are developed for the autoregressive parameters and the regression coefficients. We generalize the method...

In this paper, we consider a gaussian autoregressive model of order p, which may be nonstationary and includes a drift term (where p ≥ 1). Exact inference methods are developed for the autoregressive coefficients. We consider first the problem of testing any hypothesis that fixes the vector of...

In this paper, we consider a linear regression model with Gaussian autoregressive errors of order p = 2, which may be nonstationary. Exact inference methods (tests and confidence region) are developed for the autoregressive parameters and the regression coefficients. We generalize the method...