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Joint Asymptotic Properties of Stopping Times and Sequential Estimators for Stationary First-order Autoregressive Models

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Hitomi, Kohtaro, Nagai, Keiji, Nishiyama, Yoshihiko, Tao, JunfanInstitute of Economic Research, Kyoto University2021-06KIER Discussion Paper1060p.1-17

Available onlineOther Libraries in Japan

Summary, etc....e consider the joint asymptotic properties of ......nvestigate the joint asymptotic properties of ...... times exhibit joint asymptotic normality. When σ² is estimat...
Subject Heading...er information joint asymptotic normality functional central ...

A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence

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Hadri, Kaddour, 黒住, 英司Institute of Economic Research, Hitotsubashi University2010-06

Available onlineOther Libraries in Japan

Summary, etc....ived using the joint asymptotic limits where T and N → ∞ simu...
Subject HeadingPanel data stationarity KPSS test cross-sectional dependence joint asymptotic

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