On the inconsistency of the unrestricted estimator of the information matrix near a unit root
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Publication:5427668
DOI10.1111/j.1368-423X.2007.00207.xzbMath1122.62077OpenAlexW1979369834MaRDI QIDQ5427668
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
information matrixWald testinconsistencyunit root distributionLambert W functionBahadur slopesneighbourhoods of unity
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)
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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