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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A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors
Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices
The Japanese stock market and the macroeconomy: An empirical investigation
On time series with randomized unit root and randomized seasonal unit root
Test for cointegration based on two-stage least squares
Switching equilibria: the present value model for stock prices revisited
A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment
ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
A new model for slowly-decaying correlations
LINEAR INTERPOLATORS AND THE INVERSE CORRELATION FUNCTION OF NON‐STATIONARY TIME SERIES
The use of indicator variables in computing predictions
Time series - information and prediction
The self-normalized asymptotic results for linear processes
On discrete-domain multidimensional sinusoidal models
Nonparametric approach for discriminant analysis in time series
Bayesian autoregressive spectral analysis
Effect of autocorrelated training samples on Bayes' probabilities of misclassification
A test for the presence of pure feedback in multivariate dynamic stochastic systems
On MSE of EBLUP
Sequential estimation of the sum of sinusoidal model parameters
No unit root conditions for bivariate series when a component univariate series has a unit root
On the specification of Granger-causality tests using the cointegration methodology
Extended tabulations for Dickey-Fuller tests
A resampling method for regression models with serially correlated errors
On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
Spectral estimation of a structural thin-plate smoothing model
Mean and volatility dynamics of indian rupee/US dollar exchange rate series: an empirical investigation
Testing for directional symmetry in spatial dependence using the periodogram
Asymptotic Theory of the Least Squares Estimators of Sinusoidal Signal
Checks of model adequacy for univariate time series models and their application to econometric relationships
On the efficiency of regression analysis with AR(p) errors
The asymptotic covariance matrix of the multivariate serial correlations
Estimation of the autocorrelation coefficient in the presence of a regression trend
Adaptive R-Estimation in Autoregressions
Large sample inference for a multivariate linear model with autocorrelated errors
scientific article; zbMATH DE number 1208131 (Why is no real title available?)
Unit root testing
A Bayesian analysis of the unit root in real exchange rates
THE ESTIMATION OF SPECTRUM, INVERSE SPECTRUM AND INVERSE AUTOCOVARIANCES OF A STATIONARY TIME SERIES
Unit-roots test for time-series data with a linear time trend
A unit root test based on smooth transitions and nonlinear adjustment
Approximate regression models and splines
Modeling temporal functions with granular regression and fuzzy rules
A Bayesian approach to state space multivariate time series modeling
Bias correction for the regression-based LM fractional integration test
Bartlett's formulae -- closed forms and recurrent equations
ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
Credibility theory for some evolutionary models
A cobweb model with local externalities
UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
Plug-in bandwidth choice in partial linear models with autoregressive errors
SMOOTHED BOOTSTRAP BANDWIDTH SELECTION IN NONPARAMETRIC DENSITY ESTIMATION FOR MOVING AVERAGE PROCESSES
Testing for unit roots in panel data using a GMM approach
Inference on a regression model with noised variables and serially correlated errors
Ratios of linear combinations in the general linear model
Moments of the function of non-normal random vector with applications to econometric estimators and test statistics¹
TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY
RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL
DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
Outlier detection in ARMA models
Periodic integration: Further results on model selection and forecasting
A note on the power of least squares tests for a unit root
ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
SPECTRAL MAXIMUM LIKELIHOOD ESTIMATION OF A SIGNAL-TO-NOISE RATIO LYING IN THE VICINITY OF ZERO
The distribution of a Lagrange multiplier test of normality
Testing for unit roots in a Bayesian framework
ROBUST REGRESSION AND INTERPOLATION FOR TIME SERIES
Model selection tests for nonlinear dynamic models
Trends and random walks in macroeconomic time series
Change in autoregressive processes
On adaptive estimation in nonstationary ARMA models with GARCH errors
On the power of unit root tests against fractional alternatives
Simple consistent estimation of the coefficients of a linear filter
A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
Marginal likelihood and unit roots
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
An outlier robust unit root test with an application to the extended Nelson-Plosser data
A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
Unit root tests in panel data: asymptotic and finite-sample properties
Mean location and sample mean location on manifolds: Asymptotics, tests, confidence regions
A regime switching long memory model for electricity prices
Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
Statistical inference in vector autoregressions with possibly integrated processes
Four tests for the random walk hypothesis: power versus robustness
Effects of data aggregation on the power of tests for a unit root. A simulation study
Some asymptotic results on the effect of autocorrelation on the error rates of the sample linear discriminant function
Local asymptotic normality for autoregression with infinite order
Arma-Based Confidence Intervals for Simulation Output Analysis
Unit root testing in integer-valued AR(1) models
Exploiting cross-section variation for unit root inference in dynamic data
Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
Seasonal cointegration. The Japanese consumption function (with discussion)
Dynamic VAR model-based control charts for batch process monitoring
Asymptotics of regressions with stationary and nonstationary residuals.
Higher-order sample autocorrelations and the unit root hypothesis
Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
Restricted estimation in multivariate measurement error regression model
Autoregressive time series analysis via representatives
An introduction to stochastic unit-root processes

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