Testing the autoregressive parameter with the t statistic
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Cites work
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- scientific article; zbMATH DE number 3350922 (Why is no real title available?)
- scientific article; zbMATH DE number 3357844 (Why is no real title available?)
- scientific article; zbMATH DE number 3201129 (Why is no real title available?)
- A Statistical Evaluation of Multiplicative Congruential Random Number Generators with Modulus 2 31 - 1
- Algorithm 488: A Gaussian pseudo-random number generator
- Coding the Lehmer pseudo-random number generator
- Comparison of k-Class Estimators When the Disturbances Are Small
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- ERA's: A New Approach to Small Sample Theory
- Fixed accuracy estimation of an autoregressive parameter
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Testing For Unit Roots: 1
- Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
- Testing for Unit Roots: 2
- The Use of Control Variates in Monte Carlo Estimation of Power
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
- A bootstrap theory for weakly integrated processes
- The Student's t Approximation in a Stationary First Order Autoregressive Model
- 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
- Unit root testing
- Papers with John
- 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
- scientific article; zbMATH DE number 4174181 (Why is no real title available?)
- 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
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