Inference in a nearly integrated autoregressive model with nonnormal innovations

DOI10.1016/S0304-4076(97)00040-7MaRDI QIDQ1371372zbMATH OpenFDO

Authors Thomas J. Rothenberg, James H. Stock

Publication date 7 January 1998

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

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)

Recommendations

• OPTIMAL VERSUS ROBUST INFERENCE IN NEARLY INTEGRATED NON-GAUSSIAN MODELS
• New tests for unit roots in autoregressive processes with possibly infinite variance errors
• UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION
• Unit Root Quantile Autoregression Inference

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

This page was built for publication: Inference in a nearly integrated autoregressive model with nonnormal innovations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1371372)