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Inference in time series regression when the order of integration of a regressor is unknown

Elliott, Graham; Stock, James H. - 1992

Persistent link: https://www.econbiz.de/10000840062

A simple estimator of cointegrating vectors in higher order integrated systems

Stock, James H. - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 783-820

Persistent link: https://www.econbiz.de/10001147143

Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis : Theory and International Evidence

Banerjee, Anindya; Lumsdaine, Robin L.; Stock, James H. - 2021

This paper investigates the possibility, raised by Perron (1989, 1990a), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike Perron, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive,...

Persistent link: https://www.econbiz.de/10013248699

Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis : Theory and International Evidence

Banerjee, Anindya - 1990

Persistent link: https://www.econbiz.de/10012475507

Chapter 46 Unit roots, structural breaks and trends

Stock, James H. - In: Handbook of econometrics : volume 4, (pp. 2739-2841). 1994

order of integration of a series; estimation, inference, and confidence intervals are discussed. The discussion of … settings, and one theme is the general applicability of functional central limit theory. The quality of the asymptotic …

Persistent link: https://www.econbiz.de/10014024962