Quantiles for t-statistics based on M-estimators of unit roots

DOI10.1016/S0165-1765(99)00254-2zbMATH Open0990.62013OpenAlexW3121390178MaRDI QIDQ1978558FDOQ1978558

André Lucas, Karim M. Abadir

Publication date: 4 June 2000

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00254-2

zbMATH Keywords

M-estimatorsunit root testsexplicit distribution functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Pseudo Maximum Likelihood Methods: Theory
• Title not available (Why is that?)
• High breakdown-point and high efficiency robust estimates for regression
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Influence functionals for time series (with discussion)
• Title not available (Why is that?)
• Testing for a unit root in time series regression
• Time Series Regression with a Unit Root
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• Testing For Unit Roots: 1
• Maximum likelihood type estimation for nearly nonstationary autoregressive time series
• Inference in a nearly integrated autoregressive model with nonnormal innovations
• Unbiased estimation as a solution to testing for random walks
• The Influence of VAR Dimensions on Estimator Biases
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• Testing for a unit root nonstationarity in multivariate autoregressive time series
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case II
• Classical and Bayesian aspects of robust unit root inference
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (4)

• BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES
• A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
• The finite-sample performance of robust unit root tests
• From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more

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