scientific article; zbMATH DE number 3550005

zbMATH Open0353.62050MaRDI QIDQ4124141FDOQ4124141

Publication date: 1976

Title of this publication is not available (Why is that?)

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)

Rational bubbles. A test
Bias in estimating multivariate and univariate diffusions
Time-domain estimation of time-varying linear systems
Testing for unit roots in autoregressive moving average models. An instrumental variable approach
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
On Lagrangian stochastic modelling of material transport in oceanic gyres
Near-integration and deterministic trends
LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
The effect of seasonal adjustment filters on tests for a unit root (with discussion)
Testing for the sustainability of the current account deficit in two industrial countries
Parameter estimation in regression models with autocorrelated errors using irregular data
Estimating the steady-state mean from short transient simulations
Jackknifing in partially linear regression models with serially correlated errors
Determination of Discrete Spectrum in a Random Field
Mirror image distributions and the Dickey-Fuller regression with a maintained trend
Uniform asymptotic normality in stationary and unit root autoregression
Two-step two-stage least squares estimation in models with rational expectations
The effect of linear filters on dynamic time series with structural change
Default Bayesian Priors for Regression Models with First‐Order Autoregressive Residuals
On the effect of deterministic terms on the bias in stable AR models
NON-PARAMETRIC APPROACH IN TIME SERIES ANALYSIS
A method for approximate representation of vector-valued time series and its relation to two alternatives
An analogue model of phase-averaging procedures
A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS
Asymptotic inference for near unit roots in spatial autoregression
Asymptotic least-squares estimation efficiency considerations and applications
Rate of convergence of a convolution-type estimator of the marginal density of a MA(1) process
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
SEMIPARAMETRIC TIME SERIES REGRESSION
Predictors for the first-order autoregressive process
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GARCH Model Estimation Using Estimated Quadratic Variation
Gauss-Newton estimation of parameters for a spatial autoregression model
Higher-order phase transitions on financial markets
Analyzing non-stationary signals using generalized multiple fundamental frequency model
An efficient and fast algorithm for estimating the parameters of two-dimensional sinusoidal signals
The split-BREAK model
TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
Extremes of integer-valued moving average models with exponential type tails
Testing for tail independence in extreme value models
JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
On inference for a semiparametric partially linear regression model with serially correlated errors
New autoregressive (AR) order selection criteria based on the prediction error estimation
Testing for lower tail dependence in extreme value models
Una aplicacion de la estimacion no parametrica al modelo lineal general con varianza no homogenea
Circulant matrices and time-series analysis
Stochastic simulations of time series within Weierstrass-Mandelbrot walks
Efficient estimation in a semiparametric additive regression model with autoregressive errors
Stock market context of the Lévy walks with varying velocity
Noise space decomposition method for two-dimensional sinusoidal model
Preliminary test estimation for spectra
Order selection of a multivariate autoregressive model by a modification of the FPE criterion
Statistical analysis of Lyapunov exponents from time series: a Jacobian approach.
Prediction mean square error for non-stationary multivariate time series using estimated parameters
On the interactions of unit roots and exogeneity
On estimating critical population size for an endangered species in the presence of environmental stochasticity
DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
Market equilibria with endogenous, hierarchical information
Nonlinear stochastic trends
A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
Dynamic bifurcations on financial markets
Statistical inference in a panel data semiparametric regression model with serially correlated errors
Business cycle durations
Forecasting in the presence of large shocks
FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
Covariance structure selection in general mixed models
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
Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy
A martingale decomposition of discrete Markov chains
On time series with randomized unit root and randomized seasonal unit root
Switching equilibria: the present value model for stock prices revisited
ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
Ratios of linear combinations in the general linear model
RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL
UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
A Bayesian approach to state space multivariate time series modeling
TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY
A new model for slowly-decaying correlations
Large sample inference for a multivariate linear model with autocorrelated errors
Bartlett's formulae -- closed forms and recurrent equations
A cobweb model with local externalities
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
On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
Adaptive R-Estimation in Autoregressions
A unit root test based on smooth transitions and nonlinear adjustment
Plug-in bandwidth choice in partial linear models with autoregressive errors
Title not available (Why is that?)
Unit root testing
A note on the power of least squares tests for a unit root
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 the efficiency of regression analysis with AR(p) errors

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