LIMITED TIME SERIES WITH A UNIT ROOT

DOI10.1017/S0266466605050462MaRDI QIDQ3375345zbMATH OpenOpenAlexFDO

Authors Giuseppe Cavaliere

Publication date 8 March 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466605050462

zbMATH Keywords

asymptotical local powerexchange ratesfinite sample propertiesUS unemployment rate

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Testing for unit roots in bounded time series
• Bounded integrated processes and unit root tests
• Bounds, breaks and unit root tests
• Time Series Regression with a Unit Root
• Regression Theory for Near-Integrated Time Series

Cites work

• Asymptotic Properties of Residual Based Tests for Cointegration
• Asymptotics for linear processes
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Discretization error in simulation of one-dimensional reflecting Brownian motion
• Efficient Tests for an Autoregressive Unit Root
• Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Nonlinear Econometric Models with Deterministically Trending Variables
• On the Definitions of (Co-)integration
• STATIONARY PROCESSES THAT LOOK LIKE RANDOM WALKS— THE BOUNDED RANDOM WALK PROCESS IN DISCRETE AND CONTINUOUS TIME
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Testing the unit root hypothesis using generalized range statistics
• Threshold Autoregression with a Unit Root
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression
• Vector equilibrium correction models with non‐linear discontinuous adjustments

Cited in

(17)

• International mobility of capital in the United States: robust evidence from time-series tests
• Bounded integrated processes and unit root tests
• Testing for boundary conditions in case of fractionally integrated processes
• GLS-based unit root tests for bounded processes
• Testing for unit roots in bounded time series
• Regulated seasonal unit root process
• Bounds, breaks and unit root tests
• Asymptotic Distribution of a Unit Root Process Under Double Truncation
• Time Series Regression with a Unit Root
• Regulated fractionally integrated processes
• Dynamic factor structure of team performances in Liga MX
• Bounded unit root processes with non-stationary volatility
• Time series modeling of paleoclimate data
• Bayesian analysis of beta autoregressive moving average models
• Cointegration with occasionally binding constraints
• Detecting Multiple Level Shifts in Bounded Time Series
• Some thoughts on the development of cointegration

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