scientific article; zbMATH DE number 1133212

MaRDI QIDQ4381979zbMATH OpenFDO

Authors Tai-Leung Terence Chong

Publication date 23 June 1998

zbMATH Keywords

ordinary least squaresBrownian motionmeasurement errorsBrownian bridgeunit root processesDickey-Fuller distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

Recommendations

• Estimating the fractionally integrated process in the presence of measurement errors
• Nonlinear regression for unit root models with autoregressive errors
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Testing for a unit root in the presence of moving average errors
• How to estimate autoregressive roots near unity

Cited in

(7)

• Estimating the persistence and the autocorrelation function of a time series that is measured with error
• Measurement errors and outliers in seasonal unit root testing
• A UNIFIED APPROACH TO THE MEASUREMENT ERROR PROBLEM IN TIME SERIES MODELS
• Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors
• Estimating the fractionally integrated process in the presence of measurement errors
• Unit-root detection allowing for measurement error
• Jackknife estimation with a unit root

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