M‐Estimation for regressions with integrated regressors and arma errors
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Publication:4828182
DOI10.1046/j.0143-9782.2003.00350.xzbMath1051.62087MaRDI QIDQ4828182
Publication date: 24 November 2004
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1046/j.0143-9782.2003.00350.x
endogeneity; serial correlation; \(M\)-estimators; ARMA errors; regressions with integrated regressors
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
65C05: Monte Carlo methods
Cites Work
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- On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
- M-estimation for autoregression with infinite variance
- Adaptive estimation of cointegrating regressions with ARMA errors
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
- Regression with integrated regressors
- UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION