RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS (Q4864579): Difference between revisions

Latest revision as of 15:19, 30 December 2024

scientific article; zbMATH DE number 846065

Language	Label	Description	Also known as
English	RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS	scientific article; zbMATH DE number 846065

Statements

instance of

scholarly article

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title

RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS (English)

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author

Alastair R. Hall

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published in

Journal of Time Series Analysis

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publication date

11 November 1996

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zbMATH Keywords

autoregressive moving-average models

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order estimation

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instrumental variables estimation

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unit root tests

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residual autocovariances

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time series

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model selection procedure

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least squares residual autocorrelations

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describes a project that uses

nlmdl

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9892.1995.tb00255.x

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cites work

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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Q4124141

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Q3750826

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Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection

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Unit Root Tests Based on Instrumental Variables Estimation

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On a measure of lack of fit in time series models

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The equivalence of two tests of time series model adequacy

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Testing for unit roots in autoregressive moving average models. An instrumental variable approach

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Time Series Regression with a Unit Root

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Optimal instrumental variable estimates of the AR parameters of an ARMA process

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Identifiers

zbMATH Open document ID

0851.62058

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Mathematics Subject Classification ID

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10.1111/J.1467-9892.1995.TB00255.X

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Sitelinks

Mathematics(1 entry)

mardi Publication:4864579

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+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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+Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
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+Unit Root Tests Based on Instrumental Variables Estimation
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+On a measure of lack of fit in time series models
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+The equivalence of two tests of time series model adequacy
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+Testing for unit roots in autoregressive moving average models. An instrumental variable approach
+Normal rank
@@ Property / cites work @@
+Time Series Regression with a Unit Root
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@@ Property / cites work @@
+Optimal instrumental variable estimates of the AR parameters of an ARMA process
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