ESTIMATION OF THE NON‐STATIONARY FACTOR IN ARUMA MODELS

D. Huang and V. V. Anh

Journal of Time Series Analysis, 1993, vol. 14, issue 1, 27-46

Abstract: Abstract. Two methods for the estimation of the non‐stationary factor in ARUMA models are given. Both methods yield strongly consistent estimators and the roots of the corresponding filters lie on the unit circle.

Date: 1993
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https://doi.org/10.1111/j.1467-9892.1993.tb00128.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:14:y:1993:i:1:p:27-46

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