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  • 1
    Electronic Resource
    Electronic Resource
    The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models (1990)
    New York : Cambridge University Press
    Econometric theory 6 (1990), S. 411-432 
    Details
    ISSN: 0266-4666
    Source: Cambridge Journals Digital Archives
    Topics: Economics
    Notes: A unified approach which I call the Fredholm approach is suggested for the study of asymptotic behavior of estimators and" test statistics arising from nonstationary and/or noninvertible time series models. Some limit theorems are given concerning the distribution of (the ratio of) quadratic (plus linear) forms in random variables generated by a linear process that is not necessarily stationary. Especially, the limiting characteristic function is derived explicitly via the Fredholm determinant and resolvent of a given kernel. Some examples are also shown to illustrate our methodology.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1017/S0266466600005430
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