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TESTING FOR STATIONARITY WITH A BREAK IN PANELS WHERE THE TIME DIMENSION IS FINITE

Hadri, Kaddour; Larsson, Rolf; Rao, Yao - In: Bulletin of Economic Research 64 (2012) Supplement 1, pp. 123-123

Persistent link: https://www.econbiz.de/10010752399

A likelihood ratio type test for invertibility in moving average processes

Larsson, Rolf - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 489-501

A new test for invertibility of moving average processes is proposed. The test is based on an explicit local approximation of the likelihood ratio. A simulation study compares the power with two previously suggested tests: a score type test and a numerical likelihood ratio test. Local to the...

Persistent link: https://www.econbiz.de/10010871477

TESTING FOR STATIONARITY WITH A BREAK IN PANELS WHERE THE TIME DIMENSION IS FINITE

Hadri, Kaddour; Larsson, Rolf; Rao, Yao - In: Bulletin of Economic Research 64 (2012) 12, pp. 123-123

Persistent link: https://www.econbiz.de/10010642436

A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS

Westerlund, Joakim; Larsson, Rolf - In: Econometric theory 25 (2009) 6, pp. 1851-1868

Persistent link: https://www.econbiz.de/10008325207

Biases of correlograms and of AR representations of stationary series

Abadir, Karim M.; Larsson, Rolf - In: Journal of time series econometrics 4 (2012) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10010029894

The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series

Abadir, Karim M.; Larsson, Rolf - In: Econometric theory 12 (1996) 4, pp. 682-704

Persistent link: https://www.econbiz.de/10007003406

The Asymptotic Distributions of Some Test Statistics in Near-Integrated AR Processes

Larsson, Rolf - In: Econometric theory 11 (1995) 2, pp. 306-330

Persistent link: https://www.econbiz.de/10007007263

ARTICLES - The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series: The Case with Deterministic Components

Abadir, Karim M.; Larsson, Rolf - In: Econometric theory 17 (2001) 1, pp. 222-246

Persistent link: https://www.econbiz.de/10006980329

ARTICLES - Approximation of the Asymptotic Distribution of the Log Likelihood Ratio Test for Cointegration

Larsson, Rolf - In: Econometric theory 15 (1999) 6, pp. 789-823

Persistent link: https://www.econbiz.de/10006985951

Testing for a unit root in a random coefficient panel data model

Westerlund, Joakim; Larsson, Rolf - In: Journal of econometrics 167 (2012) 1, pp. 254-274

Persistent link: https://www.econbiz.de/10009825305