Robust inference in nonstationary time series models (Q527996): Difference between revisions

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+W2066549056
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Maximum likelihood type estimation for nearly nonstationary autoregressive time series
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+A robust version of the KPSS test based on indicators
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+Q5509277
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+Diagnostic test for structural change in cointegrated regression models
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+Robust Estimation of a Location Parameter
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+Robust regression: Asymptotics, conjectures and Monte Carlo
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+Cointegration analysis using \(M\) estimators.
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+Unit Root Quantile Autoregression Inference
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+The generalized fluctuation test: A unifying view
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+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
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+THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
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+ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED  TIME SERIES
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+Q4015741
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+A new test for structural stability in the linear regression model
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+Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters
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+Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative
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+Q4807276
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+Note on bandwidth selection in testing for long range dependence.
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+Quantile cointegrating regression
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+A CUSUM test for cointegration using regression residuals
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