Time Series Regression with a Unit Root
From MaRDI portal
Recommendations
- scientific article; zbMATH DE number 1323216
- Testing for a unit root in time series regression
- Heteroskedastic time series with a unit root
- LIMITED TIME SERIES WITH A UNIT ROOT
- Unit-roots test for time-series data with a linear time trend
- scientific article; zbMATH DE number 1228064
- Unit root log periodogram regression
- Inference in Linear Time Series Models with some Unit Roots
- Time series with unit roots and infinite-variance disturbances
Cited in
(only showing first 100 items - show all)- Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices
- Understanding spurious regressions in econometrics
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
- Common nonstationary components of asset prices
- Statistical analysis of cointegration vectors
- Testing for cointegration using principal components methods
- Forecasting and testing in co-integrated systems
- Trends and random walks in macroeconomic time series
- The exact moments of OLS in dynamic regression models with non-normal errors
- Unit root tests for time series with outliers
- The limiting distributions of unit-root tests for data with cross-sectional and time-series dimensions
- Testing for unit roots in autoregressive moving average models. An instrumental variable approach
- Spectral based testing of the martingale hypothesis
- Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
- Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
- Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
- The effect of seasonal adjustment filters on tests for a unit root (with discussion)
- Seasonal cointegration. The Japanese consumption function (with discussion)
- Seasonal unit roots in aggregate U.S. data (with discussion)
- Maximum likelihood inference on cointegration and seasonal cointegration
- Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
- Asymptotic minimax results for stochastic process families with critical points
- Some tests for unit roots in seasonal time series with deterministic trends
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- A simple multiple variance ratio test
- Low-pass filtered least squares estimators of cointegrating vectors
- System estimators of cointegrating matrix in absence of normalising information
- Tests for cointegration with infinite variance errors
- LM tests for unit roots in the presence of missing observations: Small sample evidence
- Test for partial parameter instability in regressions with \(I(1)\) processes
- Structural relations, cointegration and identification: Some simple results and their application
- Testing the null of stationarity for multiple time series
- Asymptotic Bayesian analysis based on a limited information estimator
- Testing for a unit root by frequency domain regression
- A note on testing for a unit root in an \(\text{ARIMA}(p,1,0)\) signal observed with \(\text{MA}(q)\) noise
- Parameter estimation for nearly nonstationary AR(1) processes
- Unit root tests for \(\text{ARIMA}(0,1,q)\) models with irregularly observed samples
- The sample autocorrelation function of I(1) processes
- Exploiting cross-section variation for unit root inference in dynamic data
- Bootstrapping cointegrating regression
- Is there a unit root in U.S. real GNP?
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Prewhitened unit root test
- Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
- The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
- Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
- Temporal aggregation and the power of tests for a unit root
- Estimating cointegration parameters: An application of the double bootstrap
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
- Statistical inference in vector autoregressions with possibly integrated processes
- International evidence on the cyclical behavior of inflation
- Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
- Nonparametric cointegration analysis
- Sample autocorrelations of nonstationary fractionally integrated series
- Near-integration and deterministic trends
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- Rank tests for unit roots
- Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
- Regression with integrated regressors
- Semiparametric unit root tests based on symmetric estimators
- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
- Unit root and stationarity tests' wedding
- Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE
- A look at the quality of the approximation of the functional central limit theorem
- Invariance principles for tempered fractionally integrated processes
- The effect of additive outliers on a fractional unit root test
- Numerical distribution functions for seasonal unit root tests
- A likelihood ratio type test for invertibility in moving average processes
- Spectral approach to parameter-free unit root testing
- Detecting distributional changes in samples of independent block maxima using probability weighted moments
- Orthogonality tests with de-trended data: interpreting Monte-Carlo results using Nagar expansions
- An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
- Testing for covariance stationarity in stock market data
- Tapered block bootstrap for unit root testing
- Recursive adjustment for general deterministic components and improved cointegration rank tests
- The Phillips unit root tests for polynomials of integrated processes revisited
- Asymptotic theory for rough fractional Vasicek models
- Bounded integrated processes and unit root tests
- Higher-order sample autocorrelations and the unit root hypothesis
- Modified stationarity tests with improved power in small samples
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
- Time series with unit roots and infinite-variance disturbances
- GLS detrending, efficient unit root tests and structural change.
- The KPSS test with seasonal dummies
- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
- Nonlinear IV unit root tests in panels with cross-sectional dependency.
- Asymptotics of tests for a unit root in autoregression
- Unit root tests in panel data: asymptotic and finite-sample properties
- Trend stationarity versus long-range dependence in time series analysis
- New unit root asymptotics in the presence of deterministic trends.
- Higher-order kernel semiparametric M-estimation of long memory
- Regression quantiles for unstable autoregressive models
- Tests for the order of integration against higher order integration
- Implementing unit roost tests in ARMA models of unknown order
- On theory testing in econometrics. Modeling with nonexperimental data
- Tests for seasonal unit roots. General to specific or specific to general?
- Classical and Bayesian aspects of robust unit root inference
- Recent developments in the econometrics of structural change
This page was built for publication: Time Series Regression with a Unit Root
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4720609)
