Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes

Torres, Olivier, Dufour, Jean-Marie, Torrès, Olivier . Journal of Econometrics 2000. 99 (2) :255-289

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Bibtex

@article{CIS-165732,
  Author = {Torres, Olivier and Dufour, Jean-Marie and Torrès, Olivier},
  Title = {Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes},
  Journal = {Journal of Econometrics},
  Volume = {99},
  Number = {2},
  Year = {2000},
  Pages = {255--289},
  Keywords = {Time series, Markov process, Investment, Exact test, Dynamic model, auto-correlation, distributed-lag model, intercalary independence, finite sample-test, Ogawara-Hannan}
}

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