The empirical process of autoregressive residuals
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
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Volume (Year): 12 (2009)
Issue (Month): 2 (07)
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References listed on IDEAS
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"Bartlett Correction of the Unit Root test in Autoregressive Models,"
98, Economics Group, Nuffield College, University of Oxford.
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2003-W11, Economics Group, Nuffield College, University of Oxford.
- Bent Nielsen, 2001. "Order determination in general vector autoregressions," Economics Papers 2001-W10, Economics Group, Nuffield College, University of Oxford.
- Kilian, Lutz & Demiroglu, Ufuk, 2000. "Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 40-50, January.
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