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Identification of SVAR models by combining sign restrictions with external instruments

Braun, Robin; Brüggemann, Ralf - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1077-1089

Persistent link: https://www.econbiz.de/10014448551

Comment on: Threshold autoregressions with a unit root

Pitarakis, Jean-Yves - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 5, pp. 1207-1217

Persistent link: https://www.econbiz.de/10003765898

Tests for a unit root using three-regime TAR models : power comparison and some applications

Maki, Daiki - In: Econometric reviews 28 (2009) 4, pp. 335-363

Persistent link: https://www.econbiz.de/10003864021

Unit root quantile autoregression testing using covariates

Galvão Júnior, Antônio Fialho - In: Journal of econometrics 152 (2009) 2, pp. 165-178

Persistent link: https://www.econbiz.de/10003892736

The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions

Wan, Alan T. K.; Zou, Guohua; Banerjee, Anurag Narayan - In: Economics letters 94 (2007) 2, pp. 213-219

Persistent link: https://www.econbiz.de/10003417261

Asymptotics for stationary very nearly unit root processes

Andrews, Donald W. K. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003462544

Identification problems in ESTAR models and a new model

Donauer, Stefanie; Heinen, Florian; Sibbertsen, Philipp - 2010

In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification problem, the problem of properly distinguishing the transition...

Persistent link: https://www.econbiz.de/10003950818

Nonlinear mean reversion in real exchange rates : threshold autoregressive models and stochastic unit root processes

Yoon, Gawon - In: Applied economics letters 17 (2010) 7/9, pp. 797-803

Persistent link: https://www.econbiz.de/10003996726

Folklore theorems, implicit maps and new unit root limit theory

Phillips, Peter C. B. - 2011

theory relies on a sequence-based delta method in the stationary case and a sequence-based implicit continuous mapping … theorem in unit root and local to unity cases. The new limit theory shows that the IIE achieves much more than bias correction …. It changes the limit theory of the maximum likelihood estimator (MLE) when the autoregressive coefficient is in the …

Persistent link: https://www.econbiz.de/10008826746

Testing for unit roots in autoregressions with multiple level shifts

Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric theory 23 (2007) 6, pp. 1162-1215

Persistent link: https://www.econbiz.de/10003591856