CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
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Publication:4512729
DOI10.1017/S0266466699152010zbMATH Open0985.62072MaRDI QIDQ4512729FDOQ4512729
Author name not available (Why is that?)
Publication date: 23 May 2002
Published in: Econometric Theory (Search for Journal in Brave)
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Cited In (24)
- An empirical likelihood-based unified test for the integer-valued AR(1) models
- Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
- Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form
- Asymptotic Theory and Unified Confidence Region for an Autoregressive Model
- Nonlinear instrumental variable estimation of an autoregression.
- Random coefficient continuous systems: testing for extreme sample path behavior
- A reexamination of stock return predictability
- 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
- Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators.
- An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
- A new instrumental variable estimation for diffusion processes
- Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances
- Instrumental variable and variable addition based inference in predictive regressions
- On Confidence Intervals for Autoregressive Roots and Predictive Regression
- New robust inference for predictive regressions
- Toward a unified interval estimation of autoregressions
- Recursive demeaning and deterministic seasonality
- A Cauchy estimator test for autocorrelation
- A simple nonstationary-volatility robust panel unit root test
- Nonlinear IV panel unit root testing under structural breaks in the error variance
- A small sample confidence interval for autoregressive parameters
- Taking a new contour: a novel approach to panel unit root tests
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