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Nonparametric regression with a latent time series

Linton, Oliver; Nielsen, Jens Perch; Nielsen, Søren Feodor - 2009

Persistent link: https://www.econbiz.de/10003942456

Power of tests for unit roots in the presence of a linear trend

Nielsen, Bent - In: Oxford bulletin of economics and statistics 70 (2008) 5, pp. 619-644

Persistent link: https://www.econbiz.de/10003759116

Power of tests for unit roots in the presence of a linear trend

Nielsen, Bent (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001835002

Convergence to stochastic integrals with non-linear integrands

Caceres, Carlos (contributor); Nielsen, Bent (contributor) - 2007

Persistent link: https://www.econbiz.de/10003481751

The empirical process of autoregressive residuals

Engler, Eric (contributor); Nielsen, Bent (contributor) - 2007

Persistent link: https://www.econbiz.de/10003481758

Simulating properties of the likelihood ratio test for a unit root in an explosive second-order autoregression

Nielsen, Bent; Reade, J. James - In: Econometric reviews 26 (2007) 5, pp. 487-501

Persistent link: https://www.econbiz.de/10003549297

The empirical process of autoregressive residuals

Engler, Eric; Nielsen, Bent - In: The econometrics journal 12 (2009) 2, pp. 367-381

Persistent link: https://www.econbiz.de/10003875827

Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression

Nielsen, Bent (contributor); Reade, J. James (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002396524

The asymptotic distribution of unit root tests of unstable autoregressive processes

Nielsen, Bent - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 1, pp. 211-219

Persistent link: https://www.econbiz.de/10001545117

Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression

Nielsen, Bent; Reade, J. James - In: Econometric Reviews 26 (2007) 5, pp. 487-501

This paper provides a means of accurately simulating explosive autoregressive processes and uses this method to analyze the distribution of the likelihood ratio test statistic for an explosive second-order autoregressive process of a unit root. While the standard Dickey-Fuller distribution is...

Persistent link: https://www.econbiz.de/10005511902