Marginal likelihood and unit roots
From MaRDI portal
Recommendations
- Unit root test: An unconditional maximum likelihood approach
- Developments in maximum likelihood unit root tests
- Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
- Nearly efficient likelihood ratio tests of the unit root hypothesis
- UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION
Cites work
- scientific article; zbMATH DE number 3984308 (Why is no real title available?)
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- scientific article; zbMATH DE number 3574820 (Why is no real title available?)
- scientific article; zbMATH DE number 1898277 (Why is no real title available?)
- scientific article; zbMATH DE number 927302 (Why is no real title available?)
- scientific article; zbMATH DE number 3326882 (Why is no real title available?)
- A unified approach to testing for stationarity of unit roots
- ASYMPTOTICS OF ML ESTIMATOR FOR REGRESSION MODELS WITH A STOCHASTIC TREND COMPONENT
- Bayesian inference for variance components using only error contrasts
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Tests for an Autoregressive Unit Root
- Estimation of autoregressive parameters from a marginal likelihood function
- Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
- Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters
- Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Recovery of inter-block information when block sizes are unequal
- Robust tests for spherical symmetry and their application to least squares regression
- Tests for Unit Roots and the Initial Condition
- The diffuse Kalman filter
- The likelihood for a state space model
- Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
Cited in
(10)- scientific article; zbMATH DE number 4005394 (Why is no real title available?)
- Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach
- Likelihood functions for state space models with diffuse initial conditions
- The restricted likelihood ratio test at the boundary in autoregressive series
- Bias reduction and likelihood-based almost exactly sized hypothesis testing in predictive regressions using the restricted likelihood
- Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
- COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor
- THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
- Bootstrap point optimal unit root tests
- Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
This page was built for publication: Marginal likelihood and unit roots
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q276943)
