scientific article; zbMATH DE number 3550005

Publication date 1976

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

Cited in

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Nonparametric approach for discriminant analysis in time series
Asymptotic Theory of the Least Squares Estimators of Sinusoidal Signal
Simple consistent estimation of the coefficients of a linear filter
On time series with randomized unit root and randomized seasonal unit root
Switching equilibria: the present value model for stock prices revisited
Evaluation of robinson's (1994) Tests in finite samples
Four tests for the random walk hypothesis: power versus robustness
Semiparametric unit root tests based on symmetric estimators
Nonparametric likelihood inference for general autoregressive models
ON ASYMPTOTIC PROPERTIES OF A TWO DIMENSIONAL FREQUENCY ESTIMATOR
Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
The term structure of interest rates in real and monetary economies
Time-series decomposition and forecasting
A note on bootstrapping unit root tests in the presence of a non-zero drift
Testing the random walk hypothesis through robust estimation of correlation
Empirical study of robust estimation methods for PAR models with application to the air quality area
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA
Asymptotically honest fiducial generalized inference: an application in autoregressive models
Asymptotic laws of successive least squares estimates for seasonal arima models and application
Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form
Rational bubbles. A test
Bias in estimating multivariate and univariate diffusions
RECOGNIZING OVERDIFFERENCED TIME SERIES
Robust inference in autoregressions with multiple outliers
A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
Numerical aspects of a likelihood ratio test statistic for cointegrating rank
A neural network enhanced volatility component model
Change in autoregressive processes
Limit theorems for the discount sums of moving averages
Comparison of unit root tests for time series with level shifts
The consistency of the L₁norm estimates in arma models
ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
Ratios of linear combinations in the general linear model
Unit root testing in integer-valued AR(1) models
Composite modeling of nonstationary signals
Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
Testing for unit roots in autoregressive moving average models. An instrumental variable approach
Model selection tests for nonlinear dynamic models
Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
A pioneering study on discrete cosine transform
Testing for a unit root in an arima(p,1,0) signal observed with ma(q) noise
TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA
Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
A note on the distribution of the least squares estimator of a random walk with a linear trend
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
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
The effects of autocorrelation among errors on the consistency property of OLS estimator
Time-domain estimation of time-varying linear systems
RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL
VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
Classification Rules under Autoregressive and General Circulant Covariance
On Lagrangian stochastic modelling of material transport in oceanic gyres
An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
Marginal likelihood and unit roots
Near-integration and deterministic trends
Assessment of forecasts and forecast uncertainty using feneralized linear regression models for time series count data
Asymptotic inference for unstable auto-regressive time series with drifts
The impact of fat-tailed distributions on some leading unit roots tests
Unit root tests in panel data: asymptotic and finite-sample properties
UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
An overview of bootstrap methods for estimating and predicting in time series
A Bayesian approach to state space multivariate time series modeling
UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
Common nonstationary components of asset prices
Characterizations of normality in translation classes by properties of Bayes estimators
scientific article; zbMATH DE number 7578299 (Why is no real title available?)
The convergence of multivariate `unit root' distributions to their asymptotic limits. The case of money-income causality
On alternative state space representations of time series models
A new model for slowly-decaying correlations
The limiting distributions of unit-root tests for data with cross-sectional and time-series dimensions
The effect of seasonal adjustment filters on tests for a unit root (with discussion)
LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
The quantity approach to financial integration: The Feldstein-Horioka criterion revisited
A Review of Nonparametric Time Series Analysis
Testing for the sustainability of the current account deficit in two industrial countries
TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY
Large sample inference in random coefficient regression models
Large sample inference for a multivariate linear model with autocorrelated errors
A cobweb model with local externalities
Estimating the steady-state mean from short transient simulations
On stochastic estimation
Bartlett's formulae -- closed forms and recurrent equations
Jackknifing in partially linear regression models with serially correlated errors
A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING
Parameter estimation in regression models with autocorrelated errors using irregular data
VARMAX-modelling of blast furnace process variables
Efficiency of the Turkish stock exchange with respect to monetary variables: A cointegration analysis
Mean location and sample mean location on manifolds: Asymptotics, tests, confidence regions
Parameter inference for time series with regular and seasonal unit roots
Numerical distribution functions for seasonal unit root tests
ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
Multivariate functional least squares
Autoregressive processes applied to acceptance sampling by varlables
Parameter estimation in a regression model with random coefficient autoregressive errors
Weighted Dickey-Fuller processes for detecting stationarity
Distributions of error correction tests for cointegration

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