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

DOI10.1016/S0165-1765(99)00254-2MaRDI QIDQ1978558zbMATH OpenOpenAlexFDO

Authors Karim M. Abadir, André Lucas

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)

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Cites work

• scientific article; zbMATH DE number 1002946 (Why is no real title available?)
• scientific article; zbMATH DE number 3905646 (Why is no real title available?)
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 3757559 (Why is no real title available?)
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• Classical and Bayesian aspects of robust unit root inference
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• High breakdown-point and high efficiency robust estimates for regression
• Inference in a nearly integrated autoregressive model with nonnormal innovations
• Influence functionals for time series (with discussion)
• Maximum likelihood type estimation for nearly nonstationary autoregressive time series
• Pseudo Maximum Likelihood Methods: Theory
• Testing For Unit Roots: 1
• Testing for a unit root in time series regression
• Testing for a unit root nonstationarity in multivariate autoregressive time series
• The Influence of VAR Dimensions on Estimator Biases
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case II
• Time Series Regression with a Unit Root
• Unbiased estimation as a solution to testing for random walks

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
• From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
• The finite-sample performance of robust unit root tests

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