Dahlhaus, Rainer
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Abstract
A general minimum distance estimation procedure is presented fornonstationary time series models that have an evolutionary spectralrepresentation. The asymptotic properties of the estimate is derived underthe assumption of possible model misspecification. For autoregressiveprocesses with time varying coefficients the estimate is compared to theleast squares estimate. Furthermore, the behaviour of estimates isexplained when a stationary model is fitted to a nonstationary process.
| Document type: | Working paper |
|---|---|
| Place of Publication: | Heidelberg |
| Date Deposited: | 20 Jun 2016 09:26 |
| Date: | 1997 |
| Number of Pages: | 43 |
| Faculties / Institutes: | The Faculty of Mathematics and Computer Science > Institut für Mathematik |
| DDC-classification: | 510 Mathematics |
| Uncontrolled Keywords: | Nonstationary processes; time series; evolutionary spectra; minimum distance estimates; model selection |
| Series: | Beiträge zur Statistik > Beiträge |
| Additional Information: | auch erschienen in: The Annals of Statistics (1997), Vol. 25, No. I, 1-37 |
