Recursive mean adjustment in time-series inferences
From MaRDI portal
Publication:1284588
DOI10.1016/S0167-7152(98)00247-8zbMath0914.62069OpenAlexW2028726870MaRDI QIDQ1284588
Publication date: 1999
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00247-8
Related Items
Stationary bootstrapping for semiparametric panel unit root tests ⋮ A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE ⋮ Improved GMM estimation of panel VAR models ⋮ Nonlinear IV panel unit root testing under structural breaks in the error variance ⋮ Performance of nonlinear instrumental variable unit root tests using recursive detrending methods ⋮ Properties of recursive trend-adjusted unit root tests ⋮ Recursive adjustment for general deterministic components and improved cointegration rank tests ⋮ Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures ⋮ New tests for unit roots in autoregressive processes with possibly infinite variance errors ⋮ Taking a new contour: a novel approach to panel unit root tests ⋮ Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators. ⋮ An invariant sign test for random walks based on recursive median adjustment ⋮ A sign test for unit roots in a momentum threshold autoregressive process ⋮ Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment ⋮ Percentage points and power of a Kolmogorov-Smirnov type test for linearity in autoregressive time series ⋮ Recursive mean adjustment and tests for nonstationarities ⋮ A reexamination of stock return predictability ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS ⋮ Recursive adjusted unit root tests under non-stationary volatility ⋮ Panel unit root tests under cross section dependence with recursive mean adjustment ⋮ The power of unit root tests against nonlinear local alternatives ⋮ Recursive adjustment, unit root tests and structural breaks ⋮ Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments ⋮ Double filter instrumental variable estimation of panel data models with weakly exogenous variables ⋮ Nonlinear IV unit root tests in panels with cross-sectional dependency. ⋮ Residual-augmented IVX predictive regression
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Time series: theory and methods
- A Review of the Development and Application of Recursive Residuals in Linear Models
- The Bias of Autoregressive Coefficient Estimators
- A Simple Test for Serial Correlation in Regression Analysis
- Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
