Time Series Regression with a Unit Root

DOI10.2307/1913237MaRDI QIDQ4720609zbMATH OpenOpenAlexWikidataFDO

Authors Peter C. B. Phillips

Publication date 1987

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://cowles.yale.edu/sites/default/files/files/pub/d07/d0740-r.pdf

zbMATH Keywords

asymptotic expansionWiener processleast squares regressionrandom walk hypothesistest for unit rootsAutoregressive time seriescontinuous data recordingfunctional limit theory on metric spacesnew limiting distribution theoryweakly dependent and heterogeneously distributed innovations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Markov processes: hypothesis testing (62M02)

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• Four tests for the random walk hypothesis: power versus robustness
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• k-nearest neighbor estimation of inverse-density-weighted expectations with dependent data
• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay
• Spatial autoregressions with an extended parameter space and similarity-based weights
• Nonstationary regression models with a lagged dependent variable
• Nonparametric likelihood inference for general autoregressive models
• LIMITED TIME SERIES WITH A UNIT ROOT
• Asymptotic theory for estimating drift parameters in the fractional Vasicek model
• Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
• The least-squares criteria of the random coefficient dynamic regression model
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• A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE
• On theory testing in econometrics. Modeling with nonexperimental data
• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
• CONVERGENCE TO STOCHASTIC POWER INTEGRALS FOR DEPENDENT HETEROGENEOUS PROCESSES
• On the correlation analysis of stocks with zero returns
• STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
• Functional central limit theorems for augmented GARCH(p,q) and FIGARCH processes
• Semi-parametric modelling of temperature records
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• Mildly explosive autoregression with mixing innovations
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• Heteroskedastic time series with a unit root
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• Adjusted-range-based self-normalized autocorrelation tests
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• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA
• 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
• The Phillips unit root tests for polynomials of integrated processes revisited
• The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
• WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS
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• Bootstrapping cointegrating regression
• Testing for a trend with persistent errors
• Normality of posterior distribution under misspecification and nonsmoothness, and Bayes factor for Davies' problem
• Testing for unit roots with flow data and varying sampling frequency
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
• Least squares bias in time series with moderate deviations from a unit root
• The usage of bridge estimator to determine the order of integration for possibly integrated series as an alternative to Dickey–Pantula unit root test
• Asymptotic normal tests for integration in panels with cross-dependent units
• Near-integration and deterministic trends
• Prediction errors in nonstationary autoregressions of infinite order
• The failure of orthogonality under nonstationarity: should we care about it?
• The impact of fat-tailed distributions on some leading unit roots tests
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• AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY
• UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
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• The limiting distribution of the autocorrelation coefficient under a unit root
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• ABSENCE OF CHAOS AND 1/f SPECTRA, BUT EVIDENCE OF TAR NONLINEARITIES, IN THE CANADIAN EXCHANGE RATE
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• A residual-based test of the null of cointegration in panel data
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
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• Parameter inference for time series with regular and seasonal unit roots
• The effect of additive outliers on a fractional unit root test
• A likelihood ratio type test for invertibility in moving average processes

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