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, 367-381

Abstract: 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

Date: 2009
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Working Paper: The empirical process of autoregressive residuals (2007)
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