scientific article; zbMATH DE number 1133212
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Publication:4381979
zbMATH Open0899.62112MaRDI QIDQ4381979FDOQ4381979
Authors: Tai-Leung Terence Chong
Publication date: 23 June 1998
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ordinary least squaresBrownian motionmeasurement errorsBrownian bridgeunit root processesDickey-Fuller distribution
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)
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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