The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending (Q5256820): Difference between revisions

Latest revision as of 16:33, 30 December 2024

scientific article; zbMATH DE number 6452327

Language	Label	Description	Also known as
English	The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending	scientific article; zbMATH DE number 6452327

Statements

instance of

scholarly article

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title

The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending (English)

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author

Marcus J. Chambers

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published in

Journal of Time Series Analysis

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publication date

29 June 2015

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full work available at URL

http://repository.essex.ac.uk/8975/1/dp727.pdf

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zbMATH Keywords

GLS detrending

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near-integrated model

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moment generating function

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characteristic function

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MaRDI profile type

MaRDI publication profile

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cites work

THE JOINT MOMENT GENERATING FUNCTION OF QUADRATIC FORMS IN MULTIVARIATE AUTOREGRESSIVE SERIES

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The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions

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Minimizing the impact of the initial condition on testing for unit roots

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Efficient Tests for an Autoregressive Unit Root

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Confidence intervals for autoregressive coefficients near one

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Q4275389

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Inversion Formulae for the Distribution of Ratios

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The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model

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From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more

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LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power

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Towards a unified asymptotic theory for autoregression

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Limit theory for moderate deviations from a unit root

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Testing for a unit root in time series regression

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Q5687551

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On the asymptotic distribution of the Dickey Fuller-GLS test statistic

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Identifiers

zbMATH Open document ID

1325.62162

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5256820

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+THE JOINT MOMENT GENERATING FUNCTION OF QUADRATIC FORMS  IN MULTIVARIATE AUTOREGRESSIVE SERIES
+Normal rank
@@ Property / cites work @@
+The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions
+Normal rank
@@ Property / cites work @@
+Minimizing the impact of the initial condition on testing for unit roots
+Normal rank
@@ Property / cites work @@
+Efficient Tests for an Autoregressive Unit Root
@@ Property / cites work: Efficient Tests for an Autoregressive Unit Root / rank @@
+Normal rank
@@ Property / cites work @@
+Confidence intervals for autoregressive coefficients near one
+Normal rank
@@ Property / cites work @@
+Q4275389
@@ Property / cites work: Q4275389 / rank @@
+Normal rank
@@ Property / cites work @@
+Inversion Formulae for the Distribution of Ratios
@@ Property / cites work: Inversion Formulae for the Distribution of Ratios / rank @@
+Normal rank
@@ Property / cites work @@
+The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model
+Normal rank
@@ Property / cites work @@
+From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
+Normal rank
@@ Property / cites work @@
+LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
+Normal rank
@@ Property / cites work @@
+Towards a unified asymptotic theory for autoregression
+Normal rank
@@ Property / cites work @@
+Limit theory for moderate deviations from a unit root
+Normal rank
@@ Property / cites work @@
+Testing for a unit root in time series regression
@@ Property / cites work: Testing for a unit root in time series regression / rank @@
+Normal rank
@@ Property / cites work @@
+Q5687551
@@ Property / cites work: Q5687551 / rank @@
+Normal rank
@@ Property / cites work @@
+On the asymptotic distribution of the Dickey Fuller-GLS test statistic
+Normal rank
@@ Property / DOI @@
+.1111/JTSA.12123
@@ Property / DOI: 10.1111/JTSA.12123 / rank @@
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