Least absolute deviations estimation for nonstationary vector autoregressive time series models with pure unit roots

DOI10.4310/21-sii721OpenAlexW4365799523MaRDI QIDQ6073442

Guodong Li, Wai Keung Li, Yao Zheng, Jian-hong Wu

Publication date: 16 September 2023

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/21-sii721

zbMATH Keywords

panel unit root testvector autoregressionleast absolute deviations

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35) Statistics (62-XX) Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84)

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