Testing the autoregressive parameter with the t statistic
DOI10.1016/0304-4076(85)90084-3zbMATH Open0556.62093OpenAlexW1977862808MaRDI QIDQ761000FDOQ761000
Authors: N. E. Savin, John C. Nankervis 
Publication date: 1985
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(85)90084-3
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Cites Work
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- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
- Testing For Unit Roots: 1
- Fixed accuracy estimation of an autoregressive parameter
- Testing for Unit Roots: 2
- Coding the Lehmer pseudo-random number generator
- Comparison of k-Class Estimators When the Disturbances Are Small
- Title not available (Why is that?)
- A Statistical Evaluation of Multiplicative Congruential Random Number Generators with Modulus 2 31 - 1
- The Use of Control Variates in Monte Carlo Estimation of Power
- ERA's: A New Approach to Small Sample Theory
- Algorithm 488: A Gaussian pseudo-random number generator
Cited In (23)
- A note on bootstrapping unit root tests in the presence of a non-zero drift
- Empirically relevant critical values for hypothesis tests: A bootstrap approach
- Unit root testing in integer-valued AR(1) models
- The Student's t Approximation in a Stationary First Order Autoregressive Model
- A bootstrap theory for weakly integrated processes
- Asymptotic inference for unstable auto-regressive time series with drifts
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Papers with John
- Unit root testing
- Testing the random walk hypothesis: power versus frequency of observation
- Hypothesis testing in the presence of nuisance parameters
- Trends and random walks in macroeconomic time series
- On solving bias‐corrected non‐linear estimation equations with an application to the dynamic linear model
- Title not available (Why is that?)
- Small sample testing for cointegration using the bootstrap approach
- Testing the autoregressive process of a cross-country demand system against a higher-order alternative
- On the nearly nonstationary seasonal time series
- Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation
- On bootstrap inference in cointegrating regressions
- A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment
- Bootstrapping the HEGY seasonal unit root tests
- Bootstrap hypothesis testing in regression models
- Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
Uses Software
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