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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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
Robust inference in autoregressions with multiple outliers
Testing for unit roots in flow data sampled at different frequencies
Adjusted estimates and Wald statistics for the AR(1) model with constant
Rank tests for unit roots
Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
Bayes inference in regression models with ARMA\((p,q)\) errors
Seasonal integration and cointegration
Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
Limiting power of unit-root tests in time-series regression
Ridge Estimation in Linear Models with Autocorrelated Errors
Semi-nonparametric cointegration testing
Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
Linear prediction of ARMA processes with infinite variance
Testing of unit root and other nonstationary hypotheses in macroeconomic time series
Distributions of error correction tests for cointegration
A risk management system for sustainable fleet replacement
Nonparametric curve estimation with time series errors
Bias reduction in kernel density estimation via Lipschitz condition
Some robust exact results on sample autocorrelations and tests of randomness
A goodness-of-fit test for overdispersed binomial (or multinomial) models
An overview of bootstrap methods for estimating and predicting in time series
An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
Forecasting and testing in co-integrated systems
A Review of Nonparametric Time Series Analysis
Nonparametric likelihood inference for general autoregressive models
Parameter estimation in a regression model with random coefficient autoregressive errors
The effects of seasonally adjusting a periodic autoregressive process
The term structure of interest rates in real and monetary economies
Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
Bootstrapping time series models
Global testing against sparse alternatives in time-frequency analysis
The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
Comparison of unit root tests for time series with level shifts
Spectral and circulant approximations to the likelihood for stationary Gaussian random fields
Testing the autoregressive parameter with the t statistic
Additional critical values and asymptotic representations for seasonal unit root tests
ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
scientific article; zbMATH DE number 4064318 (Why is no real title available?)
A modified bootstrap for autoregression without stationarity
Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter
Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
SOME DOUBLY STOCHASTIC TIME SERIES MODELS
Testing the random walk hypothesis: power versus frequency of observation
Unit root tests for time series with outliers
Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
The effects of autocorrelation among errors on the consistency property of OLS variance estimator
Testing for a unit root in autoregressive processes with systematic but incomplete sampling
Median based covariogram estimators reduce bias
Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
Testing the random walk hypothesis through robust estimation of correlation
Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
Tests for seasonal unit roots. General to specific or specific to general?
UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
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

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