Autoregressive Approximation in Nonstandard Situations : The Non-Invertible and Fractionally Integrated Cases

  title={Autoregressive Approximation in Nonstandard Situations : The Non-Invertible and Fractionally Integrated Cases},
  author={D. S. Poskitt},
Autoregressive models are commonly employed to analyze empirical time series. In practice, however, any autoregressive model will only be an approximation to reality and in order to achieve a reasonable approximation and allow for full generality the order of the autoregression, h say, must be allowed to go to infinity with T , the sample size. Although results are available on the estimation of autoregressive models when h increases indefinitely with T such results are usually predicated on… CONTINUE READING
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