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 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)
FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
Extremes of integer-valued moving average models with exponential type tails
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
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
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
On estimating critical population size for an endangered species in the presence of environmental stochasticity
Two-step two-stage least squares estimation in models with rational expectations
Instrumental variable based unit root tests when both ARMA (p,q) orders are chosen to be too large
Testing for periodic integration
The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag
Predictors for the first-order autoregressive process
DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
Higher-order phase transitions on financial markets
Statistical inference in a panel data semiparametric regression model with serially correlated errors
Parameter estimation in regression models with autocorrelated errors using irregular data
Covariance structure selection in general mixed models
Efficient estimation in a semiparametric additive regression model with autoregressive errors
Business cycle durations
Mirror image distributions and the Dickey-Fuller regression with a maintained trend
Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy
Rational bubbles. A test
Stock market context of the Lévy walks with varying velocity
Forecasting in the presence of large shocks
Una aplicacion de la estimacion no parametrica al modelo lineal general con varianza no homogenea
LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
Time-domain estimation of time-varying linear systems
GARCH Model Estimation Using Estimated Quadratic Variation
JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
Noise space decomposition method for two-dimensional sinusoidal model
Market equilibria with endogenous, hierarchical information
On Lagrangian stochastic modelling of material transport in oceanic gyres
Asymptotic inference for near unit roots in spatial autoregression
Estimating the steady-state mean from short transient simulations
Testing for unit roots in autoregressive moving average models. An instrumental variable approach
The effect of linear filters on dynamic time series with structural change
An efficient and fast algorithm for estimating the parameters of two-dimensional sinusoidal signals
Rate of convergence of a convolution-type estimator of the marginal density of a MA(1) process
A martingale decomposition of discrete Markov chains
Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
Dynamic bifurcations on financial markets
Bias in estimating multivariate and univariate diffusions
Analyzing non-stationary signals using generalized multiple fundamental frequency model
Jackknifing in partially linear regression models with serially correlated errors
Simultaneous confidence intervals on partial means of classes in the two-stage stratified sampling
Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors
Prediction mean square error for non-stationary multivariate time series using estimated parameters
On inference for a semiparametric partially linear regression model with serially correlated errors
Determination of Discrete Spectrum in a Random Field
New autoregressive (AR) order selection criteria based on the prediction error estimation
Default Bayesian Priors for Regression Models with First‐Order Autoregressive Residuals
Nonlinear stochastic trends
On the effect of deterministic terms on the bias in stable AR models
SEMIPARAMETRIC TIME SERIES REGRESSION
Uniform asymptotic normality in stationary and unit root autoregression
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

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