Distribution of the Estimators for Autoregressive Time Series With a Unit Root

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

Cited In (only showing first 100 items - show all)

Statistical analysis of cointegration vectors
Testing the nominal-to-real transformation
Measurement errors and outliers in seasonal unit root testing
Selection of the break in the Perron-type tests
Efficient tests of the seasonal unit root hypothesis
Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
Testing for an unstable root in conditional and structural error correction models
VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
Root-\(n\)-consistent estimation of weak fractional cointegration
Testing for unit roots in heterogeneous panels.
A hybrid bootstrap approach to unit root tests
Classical ergodicity and modern portfolio theory
Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
Marginal likelihood and unit roots
Unit root tests in panel data: asymptotic and finite-sample properties
Long memory with stochastic variance model: a recursive analysis for US inflation
Limit theory for moderate deviations from a unit root with a break in variance
Testing for unit roots in time series models with non-stationary volatility
Concurrent processing of heteroskedastic vector-valued mixture density models
Confidence intervals for autoregressive coefficients near one
Nonlinear joint dynamics between prices of crude oil and refined products
Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
An instrumental variable approach for panel unit root tests under cross-sectional dependence
Patenting, intellectual property rights and sectoral outputs in Industrial Revolution Britain, 1780--1851
Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
A new unit root test against ESTAR based on a class of modified statistics
Additional critical values and asymptotic representations for seasonal unit root tests
Testing the autoregressive parameter with the t statistic
Unit root tests for time series with outliers
An invariant sign test for random walks based on recursive median adjustment
Local asymptotic distribution related to the AR(1) model with dependent errors
Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
Seasonal unit roots in aggregate U.S. data (with discussion)
On the power of unit root tests against fractional alternatives
Polynomial cointegration. Estimation and test
Statistical inference in vector autoregressions with possibly integrated processes
Further evidence on breaking trend functions in macroeconomic variables
Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
Estimating fractional cointegration in the presence of polynomial trends
Adjusted estimates and Wald statistics for the AR(1) model with constant
Misspecification of the breaking date in segmented trend variables: Effect on the unit root tests
No-cointegration test based on fractional differencing: Some Monte Carlo results
Inference in a nearly integrated autoregressive model with nonnormal innovations
Testing of unit root and other nonstationary hypotheses in macroeconomic time series
Lessons from a decade of IPS and LLC
Nonparametric estimation in null recurrent time series.
Narrow-band analysis of nonstationary processes
Nonparametric tests for unit roots and cointegration.
Cointegration tests in the presence of structural breaks
Distribution theory for unit root tests with conditional heteroskedasticity
Nonparametric estimation of structural models for high-frequency currency market data
Inference on a structural break in trend with fractionally integrated errors
Trends and random walks in macroeconomic time series
Inference on the cointegration rank in fractionally integrated processes.
Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
Structural analysis of vector error correction models with exogenous \(I(1)\) variables
On the sensitivity of unit root inference to nonlinear data transformations
Testing for a unit root in the presence of a variance shift
The continuity of the limit distribution in the parameter of interest is not essential for the validity of the bootstrap
Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
Pitfalls in testing for long run relationships
Green electricity investments: environmental target and the optimal subsidy
Higher-order sample autocorrelations and the unit root hypothesis
Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
Asymptotics of tests for a unit root in autoregression
Moderate deviation principles for empirical covariance in the neighbourhood of the unit root
Tests for seasonal unit roots. General to specific or specific to general?
Asymptotics of regressions with stationary and nonstationary residuals.
Seasonal integration and cointegration
Data-driven local polynomial for the trend and its derivatives in economic time series
Renorming volatilities in a family of GARCH models
Testing for a unit root in the nonlinear STAR framework
Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
Alternative estimators and unit root tests for seasonal autoregressive processes
Distribution theory for the Studentized mean for long, short, and negative memory time series
From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
Likelihood inference for a fractionally cointegrated vector autoregressive model
A simple test for the equality of integration orders
Unit root testing via the stationary bootstrap
TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
Specification testing in nonlinear and nonstationary time series autoregression
Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
Testing autocorrelation and partial autocorrelation: asymptotic methods versus resampling techniques
Forecasting and testing in co-integrated systems
Stochastic linear trends. Models and estimators
Rational bubbles. A test
A wavelet filtering based analysis of macroeconomic indicators: the Indian evidence
Structural change and unit roots
Recurrence plots revisited
Response surface models for the Leybourne unit root tests and lag order dependence
Testing for unit roots in autoregressive moving average models. An instrumental variable approach
A note on the distribution of the least squares estimator of a random walk with a linear trend
Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
Fractional integration and the volatility of UK interest rates
The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
Near-integration and deterministic trends
Pricing longevity-linked securities in the presence of mortality trend changes

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