scientific article; zbMATH DE number 897115

Publication date 7 July 1996

ARMA processes central limit theorems empirical model identification large sample theory martingale differences multivariate models new tests for unit roots nonliner estimation nonstationary time series parameter estimation periodogram state space representations time series

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Finite-sample properties of modified unit root tests in the presence of structural change.
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Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
Local asymptotic normality for regression models with long-memory disturbance
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Size and power properties of powerful unit root tests in the presence of variance breaks
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Asymptotics of tests for a unit root in autoregression
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Lag optimisation and finite-sample size distortion of unit root tests
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New tests for unit roots in autoregressive processes with possibly infinite variance errors
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Dynamic spatial panel data models with common shocks
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Testing spatial dependence in spatial models with endogenous weights matrices
Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
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On the use of estimating functions in monitoring time series for change points
Explosive strong periodic autoregression with multiplicity one
The generalised autocovariance function
Functional coefficient autoregressive conditional root model
Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
On the sample path properties of mixed Poisson processes
Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
Semiparametric generalized least squares estimation in partially linear regression models with correlated errors
Alternative estimators and unit root tests for seasonal autoregressive processes
The empirical likelihood goodness-of-fit test for regression models
Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
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A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment
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Seasonal unit root tests in long periodicity cases
Testing for seasonal unit roots by frequency domain regression
Hybrid bootstrap aided unit root testing
Asymptotic normality of Huber-Dutter estimators in a linear EV model with AR(1) processes
Variance ratio tests of the seasonal unit root hypothesis
Estimating deterministic trends with an integrated or stationary noise component
Local inference for locally stationary time series based on the empirical spectral measure
Small sample properties of forecasts from autoregressive models under structural breaks
Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Highly efficient weighted for autoregression wilcoxon estimes for autoregression
Unit root testing via the stationary bootstrap
A pair-wise approach to testing for output and growth convergence

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