Towards a unified asymptotic theory for autoregression
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Publication:3800934
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Cited in
(only showing first 100 items - show all)- A unified test for predictability of asset returns regardless of properties of predicting variables
- Norming rates and limit theory for some time-varying coefficient autoregressions
- Nonparametric cointegrating regression with NNH errors
- Lag truncation and the local asymptotic distribution of the ADF test for a unit root
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
- Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
- A simple test for nonstationarity in mixed panels: a further investigation
- Size and power of tests of stationarity in highly autocorrelated time series
- LIMITED TIME SERIES WITH A UNIT ROOT
- Robust inference with stochastic local unit root regressors in predictive regressions
- Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
- A fixed-\(b\) perspective on the Phillips-Perron unit root tests
- Asymptotic inference of least absolute deviation estimation for AR(1) processes
- Perpetual learning and apparent long memory
- HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA
- Heteroskedastic time series with a unit root
- Robust inference in autoregressions with multiple outliers
- Efficient tests of the seasonal unit root hypothesis
- A new robust inference for predictive quantile regression
- Statistical inference for Lee-Carter mortality model and corresponding forecasts
- Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
- Understanding the effect of technology shocks in SVARs with long-run restrictions
- In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time
- ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
- Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
- A specification test for nonlinear nonstationary models
- Hypothesis testing in a fractional Ornstein-Uhlenbeck model
- NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
- A Unified Inference for Predictive Quantile Regression
- Cramér's moderate deviations for the LS estimator of the autoregressive processes in the neighborhood of the unit root
- A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
- Testing for unit roots with flow data and varying sampling frequency
- Book review of: U. Hassler, Stochastische Integration und Zeitreihenmodellierung
- Least squares bias in time series with moderate deviations from a unit root
- Near-integration and deterministic trends
- Unified Tests for a Dynamic Predictive Regression
- Sensitivity of the Hermite rank
- Finite-sample size control of IVX-based tests in predictive regressions
- On the asymptotic normality of estimates in the nearly non-stationary AR(1) models
- Random coefficient continuous systems: testing for extreme sample path behavior
- Parameter estimation in a spatial unilateral unit root autoregressive model
- Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
- IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
- Understanding temporal aggregation effects on kurtosis in financial indices
- Modeling long cycles
- AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Limit theory for moderate deviations from a unit root with a break in variance
- Stochastic local and moderate departures from a unit root and its application to unit root testing
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Double asymptotics for explosive continuous time models
- Maximum likelihood estimators in regression models with infinite variance innovations
- Point optimal testing with roots that are functionally local to unity
- Confidence intervals for autoregressive coefficients near one
- Asymptotic inferences for an AR(1) model with a change point: stationary and nearly non-stationary cases
- On the variances of a spatial unit root model
- Hybrid stochastic local unit roots
- Asymptotic theory for near integrated processes driven by tempered linear processes
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
- Wavelet variance ratio cointegration test and wavestrapping
- Confidence Distributions for the Autoregressive Parameter
- Inference on stochastic time-varying coefficient models
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
- A reexamination of stock return predictability
- Mirror image distributions and the Dickey-Fuller regression with a maintained trend
- The different asymptotic regimes of nearly unstable autoregressive processes
- A similarity-based approach to time-varying coefficient non-stationary autoregression
- Unified asymptotic theory for nearly unstable AR(\(p\)) processes
- Asymptotic theory for linear diffusions under alternative sampling schemes
- Local asymptotic distribution related to the AR(1) model with dependent errors
- A theory of robust long-run variance estimation
- Unit root tests for seasonal models with deterministic trends
- ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion
- Unit root test with high-frequency data
- Uniform asymptotic normality in stationary and unit root autoregression
- Nearly unstable AR models with coefficient matrices in Jordan normal form
- An invariant sign test for random walks based on recursive median adjustment
- Unit root quantile autoregression testing using covariates
- Time series regression on integrated continuous-time processes with heavy and light tails
- A score statistic for testing the presence of a stochastic trend in conditional variances
- Minimizing the impact of the initial condition on testing for unit roots
- Time Series Approach to the Evolution of Networks: Prediction and Estimation
- New distribution theory for the estimation of structural break point in mean
- Expectations hypotheses tests at Long Horizons
- Ratio tests under limiting normality
- Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes
- Bootstrap-assisted unit root testing with piecewise locally stationary errors
- Testing for a unit root in panels with dynamic factors
- Asymptotic inference for unit roots in spatial triangular autoregression
- The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending
- In-fill asymptotic theory for structural break point in autoregressions
- Unit root testing
- Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept
- Least absolute deviation estimation for AR(1) processes with roots close to unity
- A multivariate stochastic unit root model with an application to derivative pricing
- M-estimation for near unit roots in spatial autoregression with infinite variance
- A comparison of LS/ML and GMM estimation in a simple AR(1) model
- A unified unit root test regardless of intercept
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