Errors in Variables and Cointegration
变量测量误差与协整
In this article it is shown how the cointegration or joint trending behavior of economic time series helps to alleviate the errors in variables problem.
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Asymptotics for Linear Processes
线性过程的渐近理论
A method of deriving asymptotics for linear processes is introduced which uses an explicit algebraic decomposition of the linear filter. The technique is closely related to Gordin's method but has some advantages over it, especially in terms of its range of application. The method offers a simple unified approach to strong laws, central limit theory and invariance principles for linear processes. Sample means and sample covariances are covered. The results accommodate both…
Essays in Time Series and Allied Processes.
Handbook of Statistics, Vol. 3: Time Series in the Frequency Domain.
The Order of Differencing in ARIMA Models
ARIMA 模型的差分阶数
A Lagrange multiplier test is derived for testing for the order of differencing in an autoregressive integrated moving average (ARIMA) model. The procedure is illustrated with an example.