Hypothesis testing for nearly nonstationary autoregressive models

DOI10.1016/0898-1221(90)90084-WMaRDI QIDQ911201zbMATHFDO

Authors János Kormos

Publication date 1990

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

limit distributiongeneral modelfunctionals of simple diffusion processesnearly nonstationary autoregressive processes of first and second order

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) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• scientific article; zbMATH DE number 4174181
• Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation
• Nonstationary time series with a close alternative hypothesis: Locally asymptotic distribution of the likelihood ratio
• Testing stationarity in the mean of autoregressive processes with a nonparametric regression trend
• TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES

Cites work

• scientific article; zbMATH DE number 4174181 (Why is no real title available?)
• scientific article; zbMATH DE number 3125504 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• Asymptotic inference for nearly nonstationary AR(1) processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Linear stochastic systems with constant coefficients. A statistical approach
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Testing for Unit Roots: 2
• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
• Time Series Regression with a Unit Root

Cited in

(18)

• Testing stationarity in the mean of autoregressive processes with a nonparametric regression trend
• Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series
• scientific article; zbMATH DE number 4174181 (Why is no real title available?)
• TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION
• Efficient Tests of Nonstationary Hypotheses
• The Bierens test for certain nonstationary models
• Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective
• scientific article; zbMATH DE number 720757 (Why is no real title available?)
• Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation
• Testing nested and non-nested periodically integrated autoregressive models
• Nonstationary time series with a close alternative hypothesis: Locally asymptotic distribution of the likelihood ratio
• New statistical investigations of the Ornstein-Uhlenbeck process.
• Parameter estimation for nearly nonstationary AR(1) processes
• Nonparametric pseudo-Lagrange multiplier stationarity testing
• Hypothesis testing for some time-series models: a power comparison
• Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
• Estimation and hypothesis testing for collections of autoregressive time series
• On the asymptotic power of the likelihood ratio criterion for testing the hypothesis of nonstationarity of an autoregressive series with Cauchy innovations

This page was built for publication: Hypothesis testing for nearly nonstationary autoregressive models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q911201)