Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances (Q5864374): Difference between revisions

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+Another look at the instrumental variable estimation of error-components models
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+Unit Root Tests under Time-Varying Variances
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+Testing for unit roots in time series models with non-stationary volatility
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+BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
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+HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
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+Nonlinear IV unit root tests in panels with cross-sectional dependency.
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+ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
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+WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE
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+Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes
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+Q3996911
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+Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
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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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+UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
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+REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
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+Unit root tests with a break in innovation variance.
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+Examination of Some More Powerful Modifications of the Dickey–Fuller Test
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+Tests for Unit Roots and the Initial Condition
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+LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
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+ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED  TIME SERIES
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+Towards a unified asymptotic theory for autoregression
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+Nonlinear instrumental variable estimation of an autoregression.
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+Inference in Autoregression under Heteroskedasticity
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+An instrumental variable approach for panel unit root tests under cross-sectional dependence
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+Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
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+recursive Mean Adjustment for Unit Root Tests
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+CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS  TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
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+ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
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+Asymptotic Normality, When Regressors Have a Unit Root
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+Adaptive estimation of autoregressive models with time-varying variances
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