Near-integration and deterministic trends

DOI10.1007/BF02925216zbMATH Open0936.62098MaRDI QIDQ1370197FDOQ1370197

Svend Hylleberg, Niels Haldrup

Publication date: 18 May 2000

Published in: Statistical Papers (Search for Journal in Brave)

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zbMATH Keywords

time seriesasymptotic theoryunit rootsBrownian motionOrnstein-Uhlenbeck processesnear integration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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• Asymptotic inference for nearly nonstationary AR(1) processes
• Testing for a unit root in time series regression
• Towards a unified asymptotic theory for autoregression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Regression Theory for Near-Integrated Time Series
• Time Series Regression with a Unit Root
• A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors
• Asymptotic Normality, When Regressors Have a Unit Root
• Testing For Unit Roots: 1
• Trends and random walks in macroeconomic time series
• Testing for Unit Roots: 2
• Integration Versus Trend Stationary in Time Series
• A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
• A note on the power of least squares tests for a unit root

Cited In (5)

• Mirror image distributions and the Dickey-Fuller regression with a maintained trend
• Title not available (Why is that?)
• Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model
• A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
• How to estimate autoregressive roots near unity

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