Inference in a nearly integrated autoregressive model with nonnormal innovations

DOI10.1016/S0304-4076(97)00040-7zbMATH Open0888.62094MaRDI QIDQ1371372FDOQ1371372

Authors: Thomas J. Rothenberg, James H. Stock 

Publication date: 7 January 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

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zbMATH Keywords

maximum likelihoodrobust inferencepower envelopeunit rootautoregressive models

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

• Title not available (Why is that?)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Asymptotic inference for nearly nonstationary AR(1) processes
• Regression Theory for Near-Integrated Time Series
• Title not available (Why is that?)
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Efficient Tests for an Autoregressive Unit Root
• Maximum likelihood type estimation for nearly nonstationary autoregressive time series
• The joint density of two functionals of Brownian motion
• An outlier robust unit root test with an application to the extended Nelson-Plosser data

Cited In (24)

• Nonparametric likelihood inference for general autoregressive models
• Robust inference in autoregressions with multiple outliers
• A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
• ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS
• 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
• The finite-sample performance of robust unit root tests
• Semiparametrically point-optimal hybrid rank tests for unit roots
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• Imposing inequality restrictions: Efficiency gains from economic theory
• OPTIMAL VERSUS ROBUST INFERENCE IN NEARLY INTEGRATED NON-GAUSSIAN MODELS
• Unit root quantile autoregression testing using covariates
• Inference in possibly integrated vector autoregressive models: Some finite sample evidence
• Exploiting infinite variance through dummy variables in nonstationary autoregressions
• Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
• Testing for a unit root in noncausal autoregressive models
• Parametric and semi-parametric efficient tests for parameter instability
• Estimating the innovation distribution in nonparametric autoregression
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
• A class of simple distribution-free rank-based unit root tests
• Unit roots: a selective review of the contributions of Peter C. B. Phillips
• Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
• Robust inference in nonstationary time series models

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