Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
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Publication:1978558
DOI10.1016/S0165-1765(99)00254-2zbMath0990.62013OpenAlexW3121390178MaRDI QIDQ1978558
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model, The finite-sample performance of robust unit root tests, BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES
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