On the inconsistency of the unrestricted estimator of the information matrix near a unit root

DOI10.1111/j.1368-423X.2007.00207.xzbMath1122.62077OpenAlexW1979369834MaRDI QIDQ5427668

Tassos Magdalinos

Publication date: 21 November 2007

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2007.00207.x

zbMATH Keywords

information matrixWald testinconsistencyunit root distributionLambert W functionBahadur slopesneighbourhoods of unity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items (1)

The role of information in nonstationary regression

Cites Work

• Limit theory for moderate deviations from a unit root
• Limiting power of unit-root tests in time-series regression
• Time series: theory and methods.
• On the Lambert \(w\) function
• The Order of Differencing in ARIMA Models
• Approximation Theorems of Mathematical Statistics
• Uniform Limit Theory for Stationary Autoregression
• Testing For Unit Roots: 1
• Asymptotic Efficiency of Nonparametric Tests
• Time Series Regression with a Unit Root
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