scientific article; zbMATH DE number 897115

zbMATH Open0851.62057MaRDI QIDQ4884570FDOQ4884570

Authors: Wayne A. Fuller 

Publication date: 7 July 1996

Title of this publication is not available (Why is that?)

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zbMATH Keywords

parameter estimationtime seriesARMA processesmultivariate modelsperiodogrammartingale differencescentral limit theoremsnonstationary time serieslarge sample theorystate space representationsempirical model identificationnew tests for unit rootsnonliner estimation

Mathematics Subject Classification ID

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

Cited In (only showing first 100 items - show all)

• Seasonality analysis of time series in partial linear models
• Semiparametric unit root tests based on symmetric estimators
• Testing spatial dependence in spatial models with endogenous weights matrices
• Size and power properties of powerful unit root tests in the presence of variance breaks
• Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models
• Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
• Explosive strong periodic autoregression with multiplicity one
• The impact of fat-tailed distributions on some leading unit roots tests
• Efficient tests for unit roots with prediction errors
• Normalizations for periodogram-based unit root tests.
• On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.
• The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
• Second-order minimax estimation of the mean value for exponential dispersion models
• On the sample path properties of mixed Poisson processes
• On the relationship between the theory of cointegration and the theory of phase synchronization
• Finite-sample properties of modified unit root tests in the presence of structural change.
• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• Functional approach to the asymptotic normality of the nonlinear least squares estimator
• Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests
• Testing for Panel Unit Roots under General Cross-sectional Dependence
• On least-squares estimation of the residual variance in the first-order moving average model.
• Inference without smoothing for large panels with cross-sectional and temporal dependence
• A test sensitive to extreme hidden periodicities
• Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
• Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
• Harmonically Weighted Processes
• High dimensional efficiency with applications to change point tests
• Quality control of wastewater treatment: A new approach
• A computationally efficient algorithm to estimate the parameters of a two-dimensional chirp model with the product term
• Consistency properties for the estimators of partially linear regression model under dependent errors
• Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
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• Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators.
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• On least absolute deviation estimators for one-dimensional chirp model
• Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses
• Tapered block bootstrap for unit root testing
• On augmented HEGY tests for seasonal unit roots
• Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
• Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative
• Lag optimisation and finite-sample size distortion of unit root tests
• A frequentist approach to Bayesian asymptotics
• Residual variance estimation in moving average models
• Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
• A sequential procedure for testing the existence of a random walk model in finite samples
• UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
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• Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
• A pair-wise approach to testing for output and growth convergence
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
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• Asymptotic normality of Huber-Dutter estimators in a linear EV model with AR(1) processes
• Variance ratio tests of the seasonal unit root hypothesis
• Small sample properties of forecasts from autoregressive models under structural breaks
• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
• Local polynomial regresssion estimators in survey sampling.
• Local asymptotic normality for regression models with long-memory disturbance
• Recursive mean adjustment in time-series inferences
• Multivariate versions of Bartlett's formula
• Nonlinear instrumental variable estimation of an autoregression.
• Estimators of error covariance matrices for small area prediction
• Bootstrap LR tests of stationarity, common trends and cointegration
• mBm-based scalings of traffic propagated in internet
• Asymptotic identity in min-plus algebra: a report on CPNS
• Efficient algorithm for estimating the parameters of a chirp signal
• Polynomial spline confidence bands for time series trend
• Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
• Testing for unit roots in time series models with non-stationary volatility
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• Estimation of mis-specified long memory models
• Econometric analysis of linearized singular dynamic stochastic general equilibrium models
• On the use of estimating functions in monitoring time series for change points
• Efficiency of a Liu-type estimator in semiparametric regression models
• Time series in the time domain
• Filtered log-periodogram regression of long memory processes
• The empirical likelihood goodness-of-fit test for regression models
• An invariant sign test for random walks based on recursive median adjustment
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Subset selection for vector autoregressive processes via adaptive Lasso
• A characterization of vector autoregressive processes with common cyclical features
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• Asymptotic results for spatial causal ARMA models
• Bayesian single and double variable sampling plans for the Weibull distribution with censoring
• Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
• Testing for trends in correlated data
• Comparison of MCMC methods for estimating stochastic volatility models
• On the detection of changes in autoregressive time series. I: Asymptotics.
• An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
• Spectral tests of the martingale hypothesis under conditional heteroscedasticity
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Multivariate singular spectrum analysis for forecasting revisions to real-time data

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