Markovian Progresses, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes

Jean-Marie Dufour () and O. Torres

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models.

Keywords: TIME SERIES; ECONOMIC MODELS; TESTS; SAMPLING (search for similar items in EconPapers)
JEL-codes: C15 C20 C42 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2000
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes (2000)
Working Paper: Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes (2000)
Working Paper: Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:2000-12

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