Hypothesis testing for nearly nonstationary autoregressive models

DOI10.1016/0898-1221(90)90084-WzbMATH Open0697.62082MaRDI QIDQ911201FDOQ911201

Authors: János Kormos 

Publication date: 1990

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

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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)

Cites Work

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• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Asymptotic inference for nearly nonstationary AR(1) processes
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• Testing for Unit Roots: 2
• Linear stochastic systems with constant coefficients. A statistical approach
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• The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model
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Cited In (18)

• Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series
• The Bierens test for certain nonstationary models
• Parameter estimation for nearly nonstationary AR(1) processes
• New statistical investigations of the Ornstein-Uhlenbeck process.
• Exact distribution of estimators of parameters in Ornstein-Uhlenbeck processes
• Hypothesis testing for some time-series models: a power comparison
• Estimation and hypothesis testing for collections of autoregressive time series
• Title not available (Why is that?)
• Nonparametric pseudo-Lagrange multiplier stationarity testing
• On the asymptotic power of the likelihood ratio criterion for testing the hypothesis of nonstationarity of an autoregressive series with Cauchy innovations
• Testing nested and non-nested periodically integrated autoregressive models
• Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective
• Title not available (Why is that?)
• Efficient Tests of Nonstationary Hypotheses
• Hypothesis testing for nearly nonstationary AR(1) model with Gaussian autoregressive innovation
• Testing stationarity in the mean of autoregressive processes with a nonparametric regression trend
• TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION
• Nonstationary time series with a close alternative hypothesis: Locally asymptotic distribution of the likelihood ratio

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