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Generalized forecast averaging in autoregressions with a near unit root
Kejriwal, Mohitosh; Yu, Xuewen - 2019
Persistent link: https://www.econbiz.de/10012139722
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The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
Paparoditis, Efstathios; Politis, Dimitris N. - In: Econometric reviews 37 (2018) 6/10, pp. 955-973
Persistent link: https://www.econbiz.de/10012040423
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A simple unit root test consistent against any stationary alternative
Bec, Frédérique; Guay, Alain - 2020
Persistent link: https://www.econbiz.de/10012429907
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Generalized forecast averaging in autoregressions with a near unit root
Kejriwal, Mohitosh; Yu, Xuewen - In: The econometrics journal 24 (2021) 1, pp. 83-102
Persistent link: https://www.econbiz.de/10012504451
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A simple unit root test consistent against any stationary alternative
Bec, Frédérique; Guay, Alain - 2020
Persistent link: https://www.econbiz.de/10012319299
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On the long-run sustainability of current account deficits in India : some insights from linear and non-linear cointegration tests
Deheri, Abdhut - In: The Indian economic journal 72 (2024) 4, pp. 585-601
Persistent link: https://www.econbiz.de/10014632369
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IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models
Lieberman, Offer; Phillips, Peter C. B. - 2016
be used for estimation and inference on the STUR coefficient. In a structural version of this model where the driver …
Persistent link: https://www.econbiz.de/10014123916
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Nonlinear Instrumental Variable Estimation of an Autoregression
Phillips, Peter C. B.; Park, Joon; Chang, Yoosoon - 2003
Instrumental variable (IV) estimation methods that allow for certain nonlinear functions of the data as instruments are … (standard) limit theory in contrast to the least squares estimator, providing an opportunity for the study of optimal estimation …
Persistent link: https://www.econbiz.de/10014124708
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Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model
Bec, Frederique; Guay, Alain; Guerre, Emmanuel - 2009
This paper proposes SupWald tests from a threshold autoregressive model computed with an adaptive set of thresholds. Simple examples of adaptive threshold sets are given. A second contribution of the paper is a general asymptotic null limit theory when the threshold variable is a level variable....
Persistent link: https://www.econbiz.de/10014209706
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Identifying trend nature in time series using autocorrelation functions and stationarity tests
Boutahar, Mohamed; Royer-Carenzi, M. - In: International journal of computational economics and … 14 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015062771