Testing For Unit Roots: 1
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(62)- Four tests for the random walk hypothesis: power versus robustness
- A new method of testing for a unit root in the INAR(1) model based on variances
- Small sample properties of forecasts from autoregressive models under structural breaks
- Structural change and unit roots
- Unit root testing in integer-valued AR(1) models
- The exact moments of OLS in dynamic regression models with non-normal errors
- Order selection for possibly infinite-order non-stationary time series
- Bootstrapping cointegrating regressions
- Near-integration and deterministic trends
- On the bias and variance of odds ratio, relative risk and false discovery proportion
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Hybrid stochastic local unit roots
- Testing stationarity and trend stationarity against the unit root hypothesis
- Testing the autoregressive parameter with the t statistic
- Testing for unit root processes in random coefficient autoregressive models
- Minimizing the impact of the initial condition on testing for unit roots
- Clive W. J. Granger and cointegration
- On the inconsistency of the unrestricted estimator of the information matrix near a unit root
- Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
- In-fill asymptotic theory for structural break point in autoregressions
- Unit root testing
- Some robust exact results on sample autocorrelations and tests of randomness
- Testing the random walk hypothesis: power versus frequency of observation
- An analogue model of phase-averaging procedures
- Testing joint hypotheses when one of the alternatives is one-sided
- Adjusted estimates and Wald statistics for the AR(1) model with constant
- Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises
- A comparison of LS/ML and GMM estimation in a simple AR(1) model
- Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression
- The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
- Limiting power of unit-root tests in time-series regression
- Tests for nonlinear cointegration
- Path integral method for limiting distribution of an estimator arising from an AR(1)-process with a unit root
- A Weak law of large numbers for a class of nonstationary but stabiuzing vector arma processes with one unit root
- Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
- Trends and random walks in macroeconomic time series
- Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
- TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
- Higher-order sample autocorrelations and the unit root hypothesis
- The distribution of the Durbin-Watson statistic in integrated and near-integrated models
- The exact multi-period mean-square forecast error for the first-order autoregressive model
- UNBALANCED COINTEGRATION
- BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
- Inference on nonstationary heavy-tailed AR processes via model selection
- Unbiased estimation as a solution to testing for random walks
- Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
- Numerical computation of exact moments of the least squares estimator in a first-order stationary autoregressive model
- Do we reject rational expectations models too often?: Interpreting evidence using Nagar expansions
- Overlapping subsampling and invariance to initial conditions
- Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations
- The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
- DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
- DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
- Monte Carlo response surfaces: A comparative approach
- From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
- On the distribution of quadratic functionals of the ordinary and fractional Brownian motions
- Bartlett corrections in cointegration testing
- Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
- Unit root bootstrap tests under infinite variance
- Checks of model adequacy for univariate time series models and their application to econometric relationships
- Unit-roots test for time-series data with a linear time trend
- On the behavior of inconsistent instrumental variable estimators
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