The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending
From MaRDI portal
Publication:5256820
DOI10.1111/jtsa.12123zbMath1325.62162OpenAlexW2141233514MaRDI QIDQ5256820
Publication date: 29 June 2015
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://repository.essex.ac.uk/8975/1/dp727.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Unnamed Item
- Unnamed Item
- Limit theory for moderate deviations from a unit root
- Minimizing the impact of the initial condition on testing for unit roots
- From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
- The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model
- THE JOINT MOMENT GENERATING FUNCTION OF QUADRATIC FORMS IN MULTIVARIATE AUTOREGRESSIVE SERIES
- On the asymptotic distribution of the Dickey Fuller-GLS test statistic
- Testing for a unit root in time series regression
- Towards a unified asymptotic theory for autoregression
- The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Efficient Tests for an Autoregressive Unit Root
- Inversion Formulae for the Distribution of Ratios
- Confidence intervals for autoregressive coefficients near one
This page was built for publication: The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending