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

(only showing first 100 items - show all)

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
A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
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
Preliminary test estimation for spectra
Near-integration and deterministic trends
How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
On the interactions of unit roots and exogeneity
The split-BREAK model
The effect of seasonal adjustment filters on tests for a unit root (with discussion)
A Note on Jackknife Estimators and Empirical Results for the First and Second Order Autoregressive Process
FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
Credibility for stationarity
Extremes of integer-valued moving average models with exponential type tails
Asymptotically honest fiducial generalized inference: an application in autoregressive models
Circulant matrices and time-series analysis
Testing for tail independence in extreme value models
Stochastic simulations of time series within Weierstrass-Mandelbrot walks
A method for approximate representation of vector-valued time series and its relation to two alternatives
An analogue model of phase-averaging procedures
Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models
Asymptotic least-squares estimation efficiency considerations and applications
NON-PARAMETRIC APPROACH IN TIME SERIES ANALYSIS
Statistical analysis of Lyapunov exponents from time series: a Jacobian approach.
scientific article; zbMATH DE number 3974068 (Why is no real title available?)
Gauss-Newton estimation of parameters for a spatial autoregression model
Testing for the sustainability of the current account deficit in two industrial countries
Empirical study of robust estimation methods for PAR models with application to the air quality area
Weighted least squares: A robust method of estimation for sinusoidal model
Unit root test combination via random forests
Order selection of a multivariate autoregressive model by a modification of the FPE criterion
A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS
Testing for lower tail dependence in extreme value models

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