The empirical process of autoregressive residuals.
The empirical process of the residuals from general autoregressions is investigated. If an intercept is included in the regression, the empirical process is asymptotically Gaussian and free of nuisance parameters. This contrasts the known result that in the unit root case without intercept the empir...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2007
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