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Pitfalls and Opportunities: What Macroeconomics should know about unit roots.

Campbell, J.Y.; Perron, P. - Econometrics Research Program, Department of Economics - 1991

Persistent link: https://www.econbiz.de/10005775996

BVARTEC - Bayesian Vector Auto Regressions with Time Varying Error-Covariances.

Uhlig, H. - Econometrics Research Program, Department of Economics - 1992

Persistent link: https://www.econbiz.de/10005776005

WHAT DO HETEROSKEDASTICITY TESTS DETECT?.

DUTTA, J.; ZAMAN, A. - Graduate School of Business, Columbia University - 1989

Persistent link: https://www.econbiz.de/10005776734

Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration.

Mackinnon, J.G.; Haug, A.A.; Michelis, L. - Groupement de Recherche en Économie Quantitative … - 1996

functions of the tests for cointegration proposed by Johansen. The paper provides accurate tables of asymptotic critical values …

Persistent link: https://www.econbiz.de/10005779643

ORTHOGONALITY TEST WITH DE-TENDED DATA'S INTERPRETING MONTE CARLO RESULTS USING NAGER EXPANSIONS.

BENARJEE, A.; DOLADO, J.; GALBRAIGTH, J.W. - Departamento de Fundamentos del Análisis Económico, … - 1988

Persistent link: https://www.econbiz.de/10005779806

Convergence Controls for MCMC Algorithms with Applications to Hidden Markov Chains

Robert, C.P.; Ryden, T.; Titterington, D.M. - 1998

a series of on-line controls, which rely on classical non-parametric tests, to evaluate independence from the start …

Persistent link: https://www.econbiz.de/10005780807

Optimal Rate for Nonparametric Estimation in Deterministic Dynamical Systems

Guerre, E.; Maes, J. - 1998

We propose a minimax statistical framework adapted to nonparametric estimation in deterministic dynamical system, which highlights the importance of the recurrence property of the observed process. Estimators are evaluated on the basis of a weighted uniform norm. The weight function rn depends...

Persistent link: https://www.econbiz.de/10005780826

Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?

Kwiatkowski, D.; Phillips, P.C.B.; Schmidt, P. - Economics Department, Michigan State University - 1990

Persistent link: https://www.econbiz.de/10005781225

Testing forUnit Root in the Presence of Deterministic Trends.

Schmidt, P.; Phillips, P.C.B. - Economics Department, Michigan State University - 1990

Persistent link: https://www.econbiz.de/10005781228

PREDICTION IN DYNAMIC MODELS WITH TIME DEPENDENT CONDITIONAL VARIANCES.

BAILLIE, R.T.; BOLLERSLEV, R.T. - Economics Department, Michigan State University - 1990

Persistent link: https://www.econbiz.de/10005781229

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