CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
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Publication:4512729
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(28)- Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
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- Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form
- Nonlinear instrumental variable estimation of an autoregression.
- A comparison of estimators for the first order autoregressive process with a unit root
- Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors
- Random coefficient continuous systems: testing for extreme sample path behavior
- A reexamination of stock return predictability
- Uniform asymptotic normality in stationary and unit root autoregression
- New tests for unit roots in autoregressive processes with possibly infinite variance errors
- Volatility regressions with fat tails
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
- An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
- Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators.
- A new instrumental variable estimation for diffusion processes
- Instrumental variable and variable addition based inference in predictive regressions
- On Confidence Intervals for Autoregressive Roots and Predictive Regression
- Asymptotic theory and unified confidence region for an autoregressive model
- Toward a unified interval estimation of autoregressions
- New robust inference for predictive regressions
- Recursive demeaning and deterministic seasonality
- The restricted likelihood ratio test for autoregressive processes
- A simple nonstationary-volatility robust panel unit root test
- Nonlinear IV panel unit root testing under structural breaks in the error variance
- A Cauchy estimator test for autocorrelation
- Robust inference for near-unit root processes with time-varying error variances
- A small sample confidence interval for autoregressive parameters
- Taking a new contour: a novel approach to panel unit root tests
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