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

DOI10.1016/S0165-1765(99)00254-2zbMath0990.62013OpenAlexW3121390178MaRDI QIDQ1978558

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)

Related Items

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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