Similar Search Results

Narrow search

An investigation of some small alternatives in autoregressive unit root testing with model selection

Burke, Simon P. - 1993

Persistent link: https://www.econbiz.de/10000877388

Seasonal unit roots, structural breaks and cointegration

Hall, Stephen G.; Scott, Andrew - 1990

Persistent link: https://www.econbiz.de/10000130886

Unit root tests based on M estimators

Lucas, André - 1993

Persistent link: https://www.econbiz.de/10000150813

Classical and Bayesian aspects of robust unit root inference

Hoek, Henk; Lucas, André; Dijk, Herman K. van - 1993

Persistent link: https://www.econbiz.de/10000151638

Characterization, estimation and prediction of multivariate autoregressive time series with unit roots

Paulsen, Jostein - 1982

Persistent link: https://www.econbiz.de/10000012036

Order determination of multivariate autoregressive time series with unit roots

Paulsen, Jostein - 1982

Persistent link: https://www.econbiz.de/10000012037

A powerful tuning parameter free test of the autoregressive unit root hypothesis

Nielsen, Morten Ørregaard (contributor) - 2008

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d = 1. It is shown that (i) each member of the family with d 0 is consistent, (ii) the asymptotic distribution depends on d, and thus...

Persistent link: https://www.econbiz.de/10003728253

Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects

Moon, Hyungsik Roger; Perron, Benoit - In: The econometrics journal 11 (2008) 1, pp. 80-104

Persistent link: https://www.econbiz.de/10003648625

A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances

Sjölander, Pär - In: Applied financial economics 18 (2008) 7/9, pp. 527-558

Persistent link: https://www.econbiz.de/10003739218

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

A service of the

zbw