| Publication | Date of Publication | Type |
|---|
Brownian motion, the Fredholm determinant, and time series analysis
Institute of Mathematical Statistics Monographs | 2024-11-13 | Paper |
Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process
Statistical Inference for Stochastic Processes | 2020-08-25 | Paper |
Computing limiting local powers and power envelopes of panel MA unit root tests and stationarity tests
Econometric Theory | 2019-11-18 | Paper |
Time series analysis. Nonstationary and noninvertible distribution theory
Wiley Series in Probability and Statistics | 2017-05-02 | Paper |
Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
Statistical Inference for Stochastic Processes | 2015-10-05 | Paper |
Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
Econometric Theory | 2014-11-14 | Paper |
Linear nonstationary models -- a review of the work of Professor P.C.B. Phillips
Econometric Theory | 2014-09-05 | Paper |
Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
Statistical Inference for Stochastic Processes | 2013-11-19 | Paper |
| On various applications of wavelet analysis to statistics | 2009-03-26 | Paper |
On the distribution of quadratic functionals of the ordinary and fractional Brownian motions
Journal of Statistical Planning and Inference | 2008-09-29 | Paper |
| scientific article; zbMATH DE number 5280141 (Why is no real title available?) | 2008-05-28 | Paper |
A UNIFIED APPROACH TO THE MEASUREMENT ERROR PROBLEM IN TIME SERIES MODELS
Econometric Theory | 2003-05-18 | Paper |
THE NONSTATIONARY FRACTIONAL UNIT ROOT
Econometric Theory | 2002-05-23 | Paper |
| scientific article; zbMATH DE number 957960 (Why is no real title available?) | 1996-12-15 | Paper |
Acknowledgment of priority concerning: Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
The Annals of Statistics | 1994-09-13 | Paper |
A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors
Econometrica | 1990-01-01 | Paper |
Limiting power of unit-root tests in time-series regression
Journal of Econometrics | 1990-01-01 | Paper |
Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
The Annals of Statistics | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 3930128 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3921782 (Why is no real title available?) | 1984-01-01 | Paper |
The sampling distributions of the predictor for an autoregressive model under misspecifications
Journal of Econometrics | 1984-01-01 | Paper |
Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean
Econometrica | 1983-01-01 | Paper |
Non-Normality of the Lagrange Multiplier Statistic for Testing the Constancy of Regression Coefficients
Econometrica | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3793272 (Why is no real title available?) | 1983-01-01 | Paper |
Analysis of time varying parameter models
Bulletin of the Australian Mathematical Society | 1979-01-01 | Paper |
