Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals

Han, RD; Wang, XH; Hu, SH

Wang, XH (reprint author), Anhui Univ, Sch Econ, 111 Jiulong Rd, Hefei 230601, Anhui, Peoples R China.

STATISTICAL METHODS AND APPLICATIONS, 2018; 27 (3): 479

Abstract

For the first-order autoregressive model, we establish the asymptotic theory of the weighted least squares estimations whether the underlying autoregr......

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