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Size performance of the lagrange multiplier (LM) unit root test in the presence of a neglected break under the null

Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 7/9, pp. 701-705

Persistent link: https://www.econbiz.de/10003741635

Modification of the LM unit root test

Vougas, Dimitrios V. - In: Applied economics letters 14 (2007) 10/12, pp. 913-917

Persistent link: https://www.econbiz.de/10003589558

Final modification of the LM unit root test

Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 13/15, pp. 1007-1009

Persistent link: https://www.econbiz.de/10003801118

Modification of the point optimal unit root test

Vougas, Dimitrios V. - In: Applied economics letters 16 (2009) 4/6, pp. 349-352

Persistent link: https://www.econbiz.de/10003842404

New exact ML estimation and inference for a Gaussian MA(1) process

Vougas, Dimitrios V. - In: Economics letters 99 (2008) 1, pp. 172-176

Persistent link: https://www.econbiz.de/10003723293

Prais-Winsten algorithm for regression with second or higher order autoregressive errors

Vougas, Dimitrios V. - In: Econometrics : open access journal 9 (2021) 3, pp. 1-6

There is no available Prais-Winsten algorithm for regression with AR(2) or higher order errors, and the one with AR(1) errors is not fully justified or is implemented incorrectly (thus being inefficient). This paper addresses both issues, providing an accurate, computationally fast, and...

Persistent link: https://www.econbiz.de/10012617254

Examining the robustness of cointegration analysis under weighted symmetric estimation

Cook, Steven; Vougas, Dimitrios V. - In: Applied economics letters 14 (2007) 10/12, pp. 711-714

Persistent link: https://www.econbiz.de/10003588760