Near-integration and deterministic trends

DOI10.1007/BF02925216MaRDI QIDQ1370197zbMATH OpenFDO

Authors Niels Haldrup, Svend Hylleberg

Publication date 18 May 2000

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02925216

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)

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Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors
• 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
• Asymptotic Normality, When Regressors Have a Unit Root
• Asymptotic inference for nearly nonstationary AR(1) processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Integration Versus Trend Stationary in Time Series
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Regression Theory for Near-Integrated Time Series
• Testing For Unit Roots: 1
• Testing for Unit Roots: 2
• Testing for a unit root in time series regression
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression
• Trends and random walks in macroeconomic time series

Cited in

(5)

• Mirror image distributions and the Dickey-Fuller regression with a maintained trend
• scientific article; zbMATH DE number 1911754 (Why is no real title available?)
• 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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