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Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?

Kwiatkowski, D.; Phillips, P.C.B.; Schmidt, P. - Economics Department, Michigan State University - 1990

Persistent link: https://www.econbiz.de/10005781225

Testing forUnit Root in the Presence of Deterministic Trends.

Schmidt, P.; Phillips, P.C.B. - Economics Department, Michigan State University - 1990

Persistent link: https://www.econbiz.de/10005781228

The Minimum Distance Estimator for Fractionally Integrated ARMA Models.

Chung, C.F.; Schmidt, P. - Economics Department, Michigan State University - 1994

Persistent link: https://www.econbiz.de/10005487086

More Efficient Estimation under Non-Normality when Higher Moments do not Depend on the Regressors, using Residual-Augmented Lease Squares.

Im. K.S.; Schmidt, P. - Economics Department, Michigan State University - 1999

In this paper we show how the assumption that higher moments do not depend on the regressors can be exploited in a GMM framework, and we provide very simple estimators that are equivalent to GMM estimators. These simple estimators can be calculated by linear regressions which have been augmented...

Persistent link: https://www.econbiz.de/10005256218