Unbiased estimation as a solution to testing for random walks
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Publication:1352147
DOI10.1016/0165-1765(94)00567-LzbMATH Open0874.90052OpenAlexW2054842227MaRDI QIDQ1352147FDOQ1352147
Authors: Karim M. Abadir 
Publication date: 27 February 1997
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(94)00567-l
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Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
Cites Work
- The jackknife and the bootstrap for general stationary observations
- Bootstrapping unstable first-order autoregressive processes
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Asymptotic inference for nearly nonstationary AR(1) processes
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Testing For Unit Roots: 1
- The limiting distribution of the autocorrelation coefficient under a unit root
- On the asymptotic properties of the jackknife histogram
- A New Test for Nonstationarity Against the Stable Alternative
Cited In (6)
- A James-Stein-type adjustment to bias correction in fixed effects panel models
- Uniform asymptotic normality in stationary and unit root autoregression
- Testing the random walk hypothesis: power versus frequency of observation
- Adjusted estimates and Wald statistics for the AR(1) model with constant
- The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
- Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
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