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)

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

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