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Linear processes: properties and asymptotic results (in Russian)

Author

Listed:
  • Vadim Marmer

    (University of British Columbia, Vancouver, Canada)

Abstract

This essay surveys results for linear time series including Wold decomposition, properties of spectral density functions and lag operators, autoregressive moving average models, Beveridge–Nelson decomposition, and Phillips–Solo device for deriving asymptotics.

Suggested Citation

  • Vadim Marmer, 2012. "Linear processes: properties and asymptotic results (in Russian)," Quantile, Quantile, issue 10, pages 33-56, December.
    • Handle: RePEc:qnt:quantl:y:2012:i:10:p:33-56
    as

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    References listed on IDEAS

    as
    1. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477444, January.
    2. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.
    3. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    4. Gouriéroux, Christian & Monfort, Alain, 1995. "Testing, Encompassing, and Simulating Dynamic Econometric Models," Econometric Theory, Cambridge University Press, vol. 11(2), pages 195-228, February.
    Full references (including those not matched with items on IDEAS)

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