scientific article; zbMATH DE number 3550005

Publication date 1976

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

Cited in

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Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices
The Japanese stock market and the macroeconomy: An empirical investigation
Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors
Inference on a regression model with noised variables and serially correlated errors
On MSE of EBLUP
Testing the random walk hypothesis through robust estimation of correlation
Spectral estimation of a structural thin-plate smoothing model
An efficient and fast algorithm for estimating the parameters of two-dimensional sinusoidal signals
Some asymptotic results on the effect of autocorrelation on the error rates of the sample linear discriminant function
Predictors for the first-order autoregressive process
Linear prediction of ARMA processes with infinite variance
Median based covariogram estimators reduce bias
Seasonal integration and cointegration
The effects of autocorrelation among errors on the consistency property of OLS variance estimator
Some robust exact results on sample autocorrelations and tests of randomness
Autoregressive time series analysis via representatives
Composite modeling of nonstationary signals
Simple consistent estimation of the coefficients of a linear filter
Common nonstationary components of asset prices
Characterizations of normality in translation classes by properties of Bayes estimators
The convergence of multivariate `unit root' distributions to their asymptotic limits. The case of money-income causality
Forecasting and testing in co-integrated systems
On alternative state space representations of time series models
Trends and random walks in macroeconomic time series
Multivariate functional least squares
The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
Unit root tests for time series with outliers
The limiting distributions of unit-root tests for data with cross-sectional and time-series dimensions
The use of indicator variables in computing predictions
Effect of autocorrelated training samples on Bayes' probabilities of misclassification
Approximations of the eigenvalues of the covariance matrix of a first order autoregressive process
Testing for unit roots in autoregressive moving average models. An instrumental variable approach
A new model for slowly-decaying correlations
Is there a long-run relation between the trade balance and the real effective exchange rate of LDCs!
Infrequent permanent shocks and the finite-sample performance of unit root tests
Aggregate price indexes, cointegration, and tests of the purchasing power parity hypothesis
A Bayesian approach to state space multivariate time series modeling
Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
The effect of seasonal adjustment filters on tests for a unit root (with discussion)
Seasonal cointegration. The Japanese consumption function (with discussion)
Maximum likelihood inference on cointegration and seasonal cointegration
Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
A note on the distribution of the least squares estimator of a random walk with a linear trend
Change in autoregressive processes
Asymptotic inference for unstable auto-regressive time series with drifts
On stochastic estimation
VARMAX-modelling of blast furnace process variables
Efficiency of the Turkish stock exchange with respect to monetary variables: A cointegration analysis
Testing the stationarity of interest rates using a SUR approach
Mean location and sample mean location on manifolds: Asymptotics, tests, confidence regions
Additional critical values and asymptotic representations for seasonal unit root tests
Business cycle durations
LM tests for unit roots in the presence of missing observations: Small sample evidence
An overview of bootstrap methods for estimating and predicting in time series
Residual based tests for cointegration. A Monte Carlo study of size distortions
A novel test of the monetary approach using black market exchange rates and the Johansen-Juselius cointegration method
Testing for a unit root by frequency domain regression
Testing for a unit root in autoregressive processes with systematic but incomplete sampling
The distribution of the Durbin-Watson statistic in integrated and near-integrated models
Fast iterative methods for least squares estimations
Unit root tests for \(\text{ARIMA}(0,1,q)\) models with irregularly observed samples
The sample autocorrelation function of I(1) processes
Statistical inference for detrended point processes
Exploiting cross-section variation for unit root inference in dynamic data
A cointegration test of the optimal seigniorage model
On the power of unit root tests against fractional alternatives
Aggregate output dynamics in the twentieth century
Large sample inference for conditional exponential families with applications to nonlinear time series
Prewhitened unit root test
Large sample inference for a multivariate linear model with autocorrelated errors
Optimal tests for nested designs with circular stationary dependence
Probability inequalities for certain dependence structures
Partial autocorrelation function for spatial processes
Bayes inference in regression models with ARMA\((p,q)\) errors
Estimation of the autocorrelation coefficient in the presence of a regression trend
Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
A simple recursive estimation method for linear regression models with \(\text{AR}(p)\) disturbances
Temporal aggregation and the power of tests for a unit root
An outlier robust unit root test with an application to the extended Nelson-Plosser data
Statistical inference in vector autoregressions with possibly integrated processes
Are taxes too low?
The distribution of a Lagrange multiplier test of normality
Testing for the sustainability of the current account deficit in two industrial countries
Testing tariff endogeneity in Japan
Market equilibria with endogenous, hierarchical information
A new preliminary estimator for MA(1) models
Testing for unit roots in flow data sampled at different frequencies
Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
A modified bootstrap for autoregression without stationarity
Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
An introduction to stochastic unit-root processes
Near-integration and deterministic trends
Testing of unit root and other nonstationary hypotheses in macroeconomic time series
Dynamic VAR model-based control charts for batch process monitoring
Asymptotic inference for near unit roots in spatial autoregression
Rank tests for unit roots
Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate

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