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: C20 C15 C42 (search for similar items in EconPapers)
Date: Written 2000

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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)
Journal Article: Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ
Contact information at EDIRC.
Series data maintained by Sharon BREWER ().