scientific article; zbMATH DE number 3550005

From MaRDI portal
Publication:4124141

zbMath0353.62050MaRDI QIDQ4124141

Wayne A. Fuller

Publication date: 1976


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items (only showing first 100 items - show all)

Statistical inference for detrended point processesExploiting cross-section variation for unit root inference in dynamic dataA cointegration test of the optimal seigniorage modelOn the power of unit root tests against fractional alternativesAggregate output dynamics in the twentieth centuryLarge sample inference for conditional exponential families with applications to nonlinear time seriesPrewhitened unit root testLarge sample inference for a multivariate linear model with autocorrelated errorsOptimal tests for nested designs with circular stationary dependenceNumerical distribution functions for seasonal unit root testsProbability inequalities for certain dependence structuresPartial autocorrelation function for spatial processesBayes inference in regression models with ARMA\((p,q)\) errorsEstimation of the autocorrelation coefficient in the presence of a regression trendHeteroscedasticity in non-stationary time series, some Monte Carlo evidenceA simple recursive estimation method for linear regression models with \(\text{AR}(p)\) disturbancesTemporal aggregation and the power of tests for a unit rootThe quantity approach to financial integration: The Feldstein-Horioka criterion revisitedAn outlier robust unit root test with an application to the extended Nelson-Plosser dataStatistical inference in vector autoregressions with possibly integrated processesAre taxes too low?The distribution of a Lagrange multiplier test of normalityTesting for the sustainability of the current account deficit in two industrial countriesTesting tariff endogeneity in JapanMarket equilibria with endogenous, hierarchical informationA new preliminary estimator for MA(1) modelsTesting for unit roots in flow data sampled at different frequenciesTests for seasonal unit roots. General to specific or specific to general?Classical and Bayesian aspects of robust unit root inferenceTesting for unit roots in a Bayesian frameworkOn the term structure of interest rates -- empirical results for GermanyClosed forms for asymptotic bias and variance in autoregressive models with unit rootsExact distributions, density functions and moments of the least squares estimator in a first-order autoregressive modelA modified bootstrap for autoregression without stationarityAnother heteroskedasticity- and autocorrelation-consistent covariance matrix estimatorThe effect of linear filters on dynamic time series with structural changeAn introduction to stochastic unit-root processesNear-integration and deterministic trendsTesting of unit root and other nonstationary hypotheses in macroeconomic time seriesAsymptotic inference for near unit roots in spatial autoregressionRank tests for unit rootsTesting the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rateNonlinear stochastic trendsRegression with integrated regressorsSemiparametric unit root tests based on symmetric estimatorsTesting for unit roots in panel data using a GMM approachThe asymptotic covariance matrix of the multivariate serial correlationsCo-integration tests for long run equilibrium in the monetary exchange rate modelExtended tabulations for Dickey-Fuller testsOrthogonality tests with de-trended data: interpreting Monte-Carlo results using Nagar expansionsTransitory consumption, durability and different approaches to test the life cycle modelAn improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent dataA resampling method for regression models with serially correlated errorsNumerical aspects of a likelihood ratio test statistic for cointegrating rankFixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the nullA necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependenceOn adaptive estimation in nonstationary ARMA models with GARCH errorsBootstrapping impulse responses of structural vector autoregressive models identified through GARCHJackknifing in partially linear regression models with serially correlated errorsTesting for directional symmetry in spatial dependence using the periodogramRobustness to nonnormality of the Durbin-Watson test for autocorrelationHigher-order sample autocorrelations and the unit root hypothesisEffects of data aggregation on the power of tests for a unit root. A simulation studyFundamentals, regime shifts, and dollar behavior in the 1980sLimiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errorsOn the distributions of augmented Dickey-Fuller statistics in processes with moving average componentsOn stochastic estimationVARMAX-modelling of blast furnace process variablesLocal asymptotic normality for autoregression with infinite orderEfficiency of the Turkish stock exchange with respect to monetary variables: A cointegration analysisBartlett's formulae -- closed forms and recurrent equationsTesting the stationarity of interest rates using a SUR approachMean location and sample mean location on manifolds: Asymptotics, tests, confidence regionsA state space model of the economic fundamentalsSeigniorage and conventional taxation with multiple exogenous shocksTwo-step two-stage least squares estimation in models with rational expectationsAdditional critical values and asymptotic representations for seasonal unit root testsBusiness cycle durationsLM tests for unit roots in the presence of missing observations: Small sample evidenceAdjusted estimates and Wald statistics for the AR(1) model with constantAn overview of bootstrap methods for estimating and predicting in time seriesGaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustmentsUnit root and stationarity tests' weddingUnit root testing in integer-valued AR(1) modelsStock market context of the Lévy walks with varying velocityA note on bootstrapping unit root tests in the presence of a non-zero driftRate of convergence of a convolution-type estimator of the marginal density of a MA(1) processStatistical analysis of Lyapunov exponents from time series: a Jacobian approach.Residual based tests for cointegration. A Monte Carlo study of size distortionsA novel test of the monetary approach using black market exchange rates and the Johansen-Juselius cointegration methodTesting for a unit root by frequency domain regressionTesting for a unit root in autoregressive processes with systematic but incomplete samplingModeling temporal functions with granular regression and fuzzy rulesThe distribution of the Durbin-Watson statistic in integrated and near-integrated modelsFast iterative methods for least squares estimationsUnit root tests in panel data: asymptotic and finite-sample propertiesSemi-nonparametric cointegration testingInstrumental variables estimation of a nearly nonstationary, heterogeneous error component model.Unit root tests for \(\text{ARIMA}(0,1,q)\) models with irregularly observed samplesThe sample autocorrelation function of \(I(1)\) processes




This page was built for publication: