scientific article; zbMATH DE number 3550005
From MaRDI portal
Publication:4124141
zbMATH Open0353.62050MaRDI QIDQ4124141FDOQ4124141
Authors: Wayne A. Fuller
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)
- Simple consistent estimation of the coefficients of a linear filter
- Four tests for the random walk hypothesis: power versus robustness
- Nonparametric likelihood inference for general autoregressive models
- The term structure of interest rates in real and monetary economies
- Testing the random walk hypothesis through robust estimation of correlation
- Robust inference in autoregressions with multiple outliers
- Comparison of unit root tests for time series with level shifts
- Model selection tests for nonlinear dynamic models
- Change in autoregressive processes
- Unit root testing in integer-valued AR(1) models
- Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
- VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
- An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
- ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
- UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
- Marginal likelihood and unit roots
- Unit root tests in panel data: asymptotic and finite-sample properties
- An overview of bootstrap methods for estimating and predicting in time series
- A Review of Nonparametric Time Series Analysis
- Mean location and sample mean location on manifolds: Asymptotics, tests, confidence regions
- Distributions of error correction tests for cointegration
- Parameter estimation in a regression model with random coefficient autoregressive errors
- Bootstrapping time series models
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Some asymptotic results on the effect of autocorrelation on the error rates of the sample linear discriminant function
- A goodness-of-fit test for overdispersed binomial (or multinomial) models
- Additional critical values and asymptotic representations for seasonal unit root tests
- Testing the autoregressive parameter with the t statistic
- Unit root tests for time series with outliers
- Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
- Seasonal cointegration. The Japanese consumption function (with discussion)
- On the power of unit root tests against fractional alternatives
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
- A regime switching long memory model for electricity prices
- Statistical inference in vector autoregressions with possibly integrated processes
- An introduction to stochastic unit-root processes
- 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
- Ridge Estimation in Linear Models with Autocorrelated Errors
- Some robust exact results on sample autocorrelations and tests of randomness
- Testing the random walk hypothesis: power versus frequency of observation
- Adjusted estimates and Wald statistics for the AR(1) model with constant
- Testing for unit roots in flow data sampled at different frequencies
- Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- Global testing against sparse alternatives in time-frequency analysis
- Spectral and circulant approximations to the likelihood for stationary Gaussian random fields
- Limiting power of unit-root tests in time-series regression
- Semi-nonparametric cointegration testing
- Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter
- Exploiting cross-section variation for unit root inference in dynamic data
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Trends and random walks in macroeconomic time series
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Effects of data aggregation on the power of tests for a unit root. A simulation study
- Local asymptotic normality for autoregression with infinite order
- Linear prediction of ARMA processes with infinite variance
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
- A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
- Arma-Based Confidence Intervals for Simulation Output Analysis
- 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
- 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
- Tests for seasonal unit roots. General to specific or specific to general?
- Asymptotics of regressions with stationary and nonstationary residuals.
- Seasonal integration and cointegration
- A modified bootstrap for autoregression without stationarity
- Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
- DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
- Bias reduction in kernel density estimation via Lipschitz condition
- The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
- A risk management system for sustainable fleet replacement
- Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- Title not available (Why is that?)
- SOME DOUBLY STOCHASTIC TIME SERIES MODELS
- Autoregressive time series analysis via representatives
- Restricted estimation in multivariate measurement error regression model
- ROBUST REGRESSION AND INTERPOLATION FOR TIME SERIES
- Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
- Dynamic VAR model-based control charts for batch process monitoring
- Nonparametric curve estimation with time series errors
- Median based covariogram estimators reduce bias
- 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?
- The effects of seasonally adjusting a periodic autoregressive process
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
- Forecasting and testing in co-integrated systems
- Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
- 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
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4124141)