DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE

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Abstract

Abstract. Asymptotic distributions of the autoregressive parameters in the AR(2) model are derived, when the characteristic polynomial has a pair of complex roots on the unit circle. Percentage points are tabulated based on simulations from the asymptotic formulae. The usefulness of the asymptotic results in finite sample situations is investigated by a Monte Carlo study, and an illustrative example is given.

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