Classical and Bayesian aspects of robust unit root inference

DOI10.1016/0304-4076(94)01661-IzbMath0825.62959OpenAlexW2121400456MaRDI QIDQ1899240

André Lucas, Henk Hoek, Hermann K. Van Dijk

Publication date: 7 December 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01661-i

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items

Cointegration analysis in the presence of outliers, The finite-sample performance of robust unit root tests, Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots, The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective, Outlier robust analysis of long-run marketing effects for weekly scanning data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• High breakdown-point and high efficiency robust estimates for regression
• A Bayesian analysis of the unit root in real exchange rates
• Statistical decision theory and Bayesian analysis. 2nd ed
• Infinitesimal robustness for autoregressive processes
• Influence functionals for time series (with discussion)
• Bayesian skepticism on unit root econometrics
• Direct cointegration testing in error correction models
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Breakdown Point of Simultaneous General M Estimates of Regression and Scale
• The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances
• Pseudo Maximum Likelihood Methods: Theory
• Testing for a unit root in time series regression
• A new infinitesimal approach to robust estimation
• SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Time Series Regression with a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• A bayesian analysis of trend determination in economic time series
• Robust Statistics