Journal article

The empirical process of autoregressive residuals.

Abstract:: The empirical process of the residuals from general autoregressions is investigated. If an intercept is included in the regression, the empirical process is asymptotically Gaussian and free of nuisance parameters. This contrasts the known result that in the unit root case without intercept the empirical process is asymptotically non-Gaussian. The result is used to establish asymptotic theory for the Kolmogorov-Smirnov test, Probability-Probability plots, and Quantile-Quantile plots. The link ...
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APA Style

Engler, E., & Nielsen, B. (2009). The empirical process of autoregressive residuals. Econometrics Journal, 12(2), 367–381.

MLA Style

Engler, E., and B. Nielsen. “The Empirical Process of Autoregressive Residuals.” Econometrics Journal, vol. 12, no. 2, Blackwell Publishing, 2009, pp. 367–81.

Chicago Style

Engler, E, and B Nielsen. 2009. “The Empirical Process of Autoregressive Residuals.” Econometrics Journal 12 (2): 367–81.
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Publisher copy:: 10.1111/j.1368-423X.2009.00282.x

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+ Engler, E More by this author

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+ Nielsen, B More by this author

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Bibliographic Details

Publisher:: Blackwell Publishing
Journal:: Econometrics Journal More from this journal
Volume:: 12
Issue:: 2
Pages:: 367 - 381
Publication date:: 2009-01-01
DOI:: 10.1111/j.1368-423X.2009.00282.x
ISSN:: 1368-4221

Item Description

Language:: English
UUID:: uuid:43175f2b-ecc2-4054-b8aa-fd6a054afa59
Local pid:: oai:economics.ouls.ox.ac.uk:14224
Deposit date:: 2011-08-16

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Copyright date:: 2009

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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