Testing Models of Low-Frequency Variability

DOI10.3982/ECTA6814MaRDI QIDQ3535755zbMATH OpenFDO

Authors Ulrich K. Müller, Mark W. Watson

Publication date 14 November 2008

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ECTA6814

zbMATH Keywords

heteroskedasticitystationarity testlong memoryunit root testlocal-to-unitybusiness cycle frequency

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data
• Testing strict stationarity with applications to macroeconomic time series
• An analogue model of phase-averaging procedures
• Three tests for the existence of cycles in time series
• Low-frequency robust cointegration testing

Cited in

(28)

• Estimating the persistence and the autocorrelation function of a time series that is measured with error
• The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
• What drives German trend output growth? A sectoral view
• The scale of predictability
• Spatial unit roots and spurious regression
• Semiparametrically point-optimal hybrid rank tests for unit roots
• Priors for the long run
• SPECTRAL FINANCIAL ECONOMETRICS
• Time-varying instrumental variable estimation
• Inference on stochastic time-varying coefficient models
• Ratio tests under limiting normality
• An analogue model of phase-averaging procedures
• COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor
• Low-frequency robust cointegration testing
• We modeled long memory with just one lag!
• Parameter Estimation Robust to Low-Frequency Contamination
• Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
• Powerful unit root tests free of nuisance parameters
• Portmanteau-type tests for unit-root and cointegration
• Trends in distributional characteristics: existence of global warming
• Learning can generate long memory
• Optimal HAR inference
• Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
• Unit roots in white noise
• Generating univariate fractional integration within a large VAR(1)
• Spatial correlation robust inference
• Statistical tests for a single change in mean against long-range dependence

This page was built for publication: Testing Models of Low-Frequency Variability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3535755)