The empirical process of autoregressive residuals
E ric E Ngler and
B ent N Ielsen
Authors registered in the RePEc Author Service: Bent Nielsen
Econometrics Journal, 2009, vol. 12, issue 2, pages 367-381
Asymptotic theory is developed for the residual empirical process of autoregressive distributed lag models with an intercept and possibly other deterministic terms. The asymptotic distribution is shown not to depend on the location of characteristic roots. This contrasts to situations without intercept where unit roots give rise to non-standard distributions. This is important in applications, as the question of the innovation distribution can be addressed without knowledge of the characteristic roots. Copyright © 2009 The Author(s). Journal compilation © Royal Economic Society 2009
References: Add references at CitEc
Citations View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2009.00282.x link to full text (text/html)
Access to full text is restricted to subscribers.
Working Paper: The empirical process of autoregressive residuals (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:12:y:2009:i:2:p:367-381
Ordering information: This journal article can be ordered from
Access Statistics for this article
Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms
More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().