scientific article; zbMATH DE number 3550005

zbMath0353.62050MaRDI QIDQ4124141

Publication date: 1976

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Related Items (only showing first 100 items - show all)

Efficient tests for the presence of a pair of complex conjugate unit roots in real time series ⋮ Marginal likelihood and unit roots ⋮ Autoregressive time series analysis via representatives ⋮ A class of stochastic unit-root bilinear processes: mixing properties and unit-root test ⋮ A regime switching long memory model for electricity prices ⋮ Composite modeling of nonstationary signals ⋮ Global testing against sparse alternatives in time-frequency analysis ⋮ A cobweb model with local externalities ⋮ Simple consistent estimation of the coefficients of a linear filter ⋮ Common nonstationary components of asset prices ⋮ Characterizations of normality in translation classes by properties of Bayes estimators ⋮ The convergence of multivariate `unit root' distributions to their asymptotic limits. The case of money-income causality ⋮ Forecasting and testing in co-integrated systems ⋮ On alternative state space representations of time series models ⋮ Unit root testing ⋮ Trends and random walks in macroeconomic time series ⋮ Multivariate functional least squares ⋮ Testing the random walk hypothesis: power versus frequency of observation ⋮ Mean and volatility dynamics of indian rupee/US dollar exchange rate series: an empirical investigation ⋮ The impact of information timeliness on the predictability of stock and futures returns: An application of vector models ⋮ Unit root tests for time series with outliers ⋮ The limiting distributions of unit-root tests for data with cross-sectional and time-series dimensions ⋮ Higher-order phase transitions on financial markets ⋮ The use of indicator variables in computing predictions ⋮ Restricted estimation in multivariate measurement error regression model ⋮ Prediction mean square error for non-stationary multivariate time series using estimated parameters ⋮ A note on the power of least squares tests for a unit root ⋮ On the specification of Granger-causality tests using the cointegration methodology ⋮ No unit root conditions for bivariate series when a component univariate series has a unit root ⋮ Four tests for the random walk hypothesis: power versus robustness ⋮ Effect of autocorrelated training samples on Bayes' probabilities of misclassification ⋮ New autoregressive (AR) order selection criteria based on the prediction error estimation ⋮ A test for the presence of pure feedback in multivariate dynamic stochastic systems ⋮ Preliminary test estimation for spectra ⋮ Simultaneous confidence intervals on partial means of classes in the two-stage stratified sampling ⋮ Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors ⋮ Time series - information and prediction ⋮ Approximations of the eigenvalues of the covariance matrix of a first order autoregressive process ⋮ The split-BREAK model ⋮ Testing for unit roots in autoregressive moving average models. An instrumental variable approach ⋮ A new model for slowly-decaying correlations ⋮ Is there a long-run relation between the trade balance and the real effective exchange rate of LDCs! ⋮ Forecasting in the presence of large shocks ⋮ A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence ⋮ Testing for periodic integration ⋮ The effects of seasonally adjusting a periodic autoregressive process ⋮ The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag ⋮ Instrumental variable based unit root tests when both ARMA (p,q) orders are chosen to be too large ⋮ The term structure of interest rates in real and monetary economies ⋮ Infrequent permanent shocks and the finite-sample performance of unit root tests ⋮ Aggregate price indexes, cointegration, and tests of the purchasing power parity hypothesis ⋮ 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? ⋮ Dynamic bifurcations on financial markets ⋮ A Bayesian approach to state space multivariate time series modeling ⋮ Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function ⋮ Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends ⋮ On time series with randomized unit root and randomized seasonal unit root ⋮ Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test ⋮ Switching equilibria: the present value model for stock prices revisited ⋮ Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy ⋮ Rational bubbles. A test ⋮ The effect of seasonal adjustment filters on tests for a unit root (with discussion) ⋮ Seasonal cointegration. The Japanese consumption function (with discussion) ⋮ Maximum likelihood inference on cointegration and seasonal cointegration ⋮ Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection ⋮ A martingale decomposition of discrete Markov chains ⋮ Bias in estimating multivariate and univariate diffusions ⋮ A note on the distribution of the least squares estimator of a random walk with a linear trend ⋮ Change in autoregressive processes ⋮ On Lagrangian stochastic modelling of material transport in oceanic gyres ⋮ Estimating the steady-state mean from short transient simulations ⋮ Seasonal integration and cointegration ⋮ On estimating critical population size for an endangered species in the presence of environmental stochasticity ⋮ A method for approximate representation of vector-valued time series and its relation to two alternatives ⋮ An analogue model of phase-averaging procedures ⋮ Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices ⋮ The Japanese stock market and the macroeconomy: An empirical investigation ⋮ Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es ⋮ Bias correction for the regression-based LM fractional integration test ⋮ Dynamic VAR model-based control charts for batch process monitoring ⋮ A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors ⋮ Inference on a regression model with noised variables and serially correlated errors ⋮ Asymptotic inference for unstable auto-regressive time series with drifts ⋮ On MSE of EBLUP ⋮ Limiting power of unit-root tests in time-series regression ⋮ Testing the random walk hypothesis through robust estimation of correlation ⋮ Spectral estimation of a structural thin-plate smoothing model ⋮ A Bayesian analysis of the unit root in real exchange rates ⋮ Testing the autoregressive parameter with the t statistic ⋮ An efficient and fast algorithm for estimating the parameters of two-dimensional sinusoidal signals ⋮ Some asymptotic results on the effect of autocorrelation on the error rates of the sample linear discriminant function ⋮ Predictors for the first-order autoregressive process ⋮ Linear prediction of ARMA processes with infinite variance ⋮ Median based covariogram estimators reduce bias ⋮ The effects of autocorrelation among errors on the consistency property of OLS variance estimator ⋮ Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter ⋮ Unit-roots test for time-series data with a linear time trend ⋮ Nonparametric curve estimation with time series errors ⋮ Nonparametric likelihood inference for general autoregressive models ⋮ Some robust exact results on sample autocorrelations and tests of randomness

This page was built for publication: