Inference in a nearly integrated autoregressive model with nonnormal innovations
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Cites work
- scientific article; zbMATH DE number 3930130 (Why is no real title available?)
- scientific article; zbMATH DE number 88842 (Why is no real title available?)
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
- Asymptotic inference for nearly nonstationary AR(1) processes
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Tests for an Autoregressive Unit Root
- Maximum likelihood type estimation for nearly nonstationary autoregressive time series
- Regression Theory for Near-Integrated Time Series
- The joint density of two functionals of Brownian motion
Cited in
(24)- A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
- Testing for a unit root in noncausal autoregressive models
- Semiparametrically point-optimal hybrid rank tests for unit roots
- ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS
- Parametric and semi-parametric efficient tests for parameter instability
- Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
- Robust inference in autoregressions with multiple outliers
- OPTIMAL VERSUS ROBUST INFERENCE IN NEARLY INTEGRATED NON-GAUSSIAN MODELS
- TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
- Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
- A class of simple distribution-free rank-based unit root tests
- Unit root quantile autoregression testing using covariates
- Exploiting infinite variance through dummy variables in nonstationary autoregressions
- Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
- Nonparametric likelihood inference for general autoregressive models
- Estimating the innovation distribution in nonparametric autoregression
- Imposing inequality restrictions: Efficiency gains from economic theory
- The finite-sample performance of robust unit root tests
- Unit roots: a selective review of the contributions of Peter C. B. Phillips
- Robust inference in nonstationary time series models
- Inference in possibly integrated vector autoregressive models: Some finite sample evidence
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