Unbiased estimation as a solution to testing for random walks
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Recommendations
- Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
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Cites work
- A New Test for Nonstationarity Against the Stable Alternative
- Asymptotic inference for nearly nonstationary AR(1) processes
- Bootstrapping unstable first-order autoregressive processes
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- On the asymptotic properties of the jackknife histogram
- Testing For Unit Roots: 1
- The jackknife and the bootstrap for general stationary observations
- The limiting distribution of the autocorrelation coefficient under a unit root
Cited in
(6)- Adjusted estimates and Wald statistics for the AR(1) model with constant
- Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
- The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
- Testing the random walk hypothesis: power versus frequency of observation
- A James-Stein-type adjustment to bias correction in fixed effects panel models
- Uniform asymptotic normality in stationary and unit root autoregression
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