Unit root log periodogram regression
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Recommendations
- Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum
- NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
- Tests of bias in log-periodogram regression
- Log-periodogram regression in asymmetric long memory.
- Non-stationary log-periodogram regression
Cites work
- scientific article; zbMATH DE number 486467 (Why is no real title available?)
- scientific article; zbMATH DE number 775283 (Why is no real title available?)
- AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
- An approximation of partial sums of independent RV's, and the sample DF. II
- Asymptotic inference for nearly nonstationary AR(1) processes
- Asymptotics for linear processes
- Central limit theorems for time series regression
- Comportement asymptotique du temps d'occupation du processus des sommes partielles. (Asymptotical behavior of the occupation time of partial sums)
- Discrimination between monotonic trends and long-range dependence
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Efficient Tests of Nonstationary Hypotheses
- Exact local Whittle estimation of fractional integration
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- Limit theory for moderate deviations from a unit root
- Local Whittle estimation in nonstationary and unit root cases.
- Log-periodogram regression of time series with long range dependence
- Long memory processes and fractional integration in econometrics
- Multidimensional version of the results of Komlos, Major and Tusnady for vectors with finite exponential moments
- NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
- Non-stationary log-periodogram regression
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- The approximation of partial sums of independent RV's
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- The periodogram of an i.i.d. sequence.
- Towards a unified asymptotic theory for autoregression
- Uniform Limit Theory for Stationary Autoregression
Cited in
(22)- On the performance of the variance ratio unit root tests with flexible Fourier form
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- Optimal estimation of cointegrated systems with irrelevant instruments
- Strong invariance principles for dependent random variables
- Robust econometric inference with mixed integrated and mildly explosive regressors
- LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
- Bootstrap tests for fractional integration and cointegration: a comparison study
- Time Series Regression with a Unit Root
- Modified information criteria and selection of long memory time series models
- NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
- Unit roots: periodogram ordinate
- Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum
- Bootstrapping I(1) data
- REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
- On convergence to stochastic integrals
- Statistical tests for a single change in mean against long-range dependence
- Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
- On the estimation of short memory components in long memory time series models
- Nonparametric predictive regression
- Nonlinear models for strongly dependent processes with financial applications
- UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
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