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Jackknife bias reduction in the presence of a unit root
Chambers, Marcus J.; Kyriacou, Maria - 2010
This paper analyses the properties of jackknife estimators of the first-order autoregressive coefficient when the time series of interest contains a unit root. It is shown that, when the sub-samples do not overlap, the sub-sample estimators have different limiting distributions from the...
Persistent link: https://www.econbiz.de/10003927895
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Simple wald tests of the fractional integration parameter : an overview of new results
Dolado, Juan J.; Gonzalo, Jesús; Mayoral, Laura - In: The methodology and practice of econometrics : a …, (pp. 300-321). 2009
Persistent link: https://www.econbiz.de/10003857849
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Testing for unit roots in semiannual data
Feltham, Sandra G.; Giles, David E. A. - In: Computer-aided econometrics, (pp. 175-208). 2003
Persistent link: https://www.econbiz.de/10002594910
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Understanding the functional central limit theorems with some applications to unit root testing with structural change
Aquino, Juan Carlos; Rodriguez, Gabriel - 2011
Persistent link: https://www.econbiz.de/10009374369
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Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe; Harvey, David I.; Leybourne, … - In: Econometric theory 27 (2011) 5, pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
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Jackknife bias reduction in autoregressive models with a unit root
Chambers, Marcus J.; Kyriacou, Maria - 2012
Persistent link: https://www.econbiz.de/10009508040
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Bootstrap LR tests of stationary, common trends and cointegration
Busetti, Fabio; Di Sanzo, Silvestro - 2011
Persistent link: https://www.econbiz.de/10009510865
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Unit roots in white noise
Onatski, Alexei; Uhlig, Harald - In: Econometric theory 28 (2012) 3, pp. 485-508
Persistent link: https://www.econbiz.de/10009545839
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Testing for a unit root in a random coefficient panel data model
Westerlund, Joakim; Larsson, Rolf - In: Journal of econometrics 167 (2012) 1, pp. 254-273
Persistent link: https://www.econbiz.de/10009551420
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Functional form misspecification in regressions with a unit root
Kasparis, Ioannis - In: Econometric theory 27 (2011) 2, pp. 285-311
Persistent link: https://www.econbiz.de/10009310795