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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

Model averaging prediction for time series models with a diverging number of parameters

Liao, Jun; Zou, Guohua; Gao, Yan; Zhang, Xinyu - In: Journal of econometrics 223 (2021) 1, pp. 190-221

Persistent link: https://www.econbiz.de/10012619966

Model averaging prediction for possibly nonstationary autoregressions

Lin, Tzu-Chi - 2023

Persistent link: https://www.econbiz.de/10014282293

Unit root vector autoregression with volatility induced stationarity

Bohn Nielsen, Heino; Rahbek, Anders - In: Journal of empirical finance 29 (2014), pp. 144-167

Persistent link: https://www.econbiz.de/10011300499

Predictive model averaging with parameter instability and heteroskedasticity

Yin, Anwen - In: Bulletin of economic research 76 (2024) 2, pp. 418-442

Persistent link: https://www.econbiz.de/10014543814

A lagged dependent variable, autocorrelated disturbances, and unit root tests - peculiar OLS bias properties - a pedagogical note

Maeshiro, Asatoshi - In: Applied economics 31 (1999) 3, pp. 381-396

Persistent link: https://www.econbiz.de/10001364531

Distribution of the Least Squares Estimator in a First-Order Autoregressive Model

Ali, Mukhtar M. - 1998

This paper investigates the finite sample distribution of the least squares estimator of the autoregressive parameter in a first-order autoregressive model. Uniform asymptotic expansion for the distribution applicable to both stationary and nonstationary cases is obtained. Accuracy of the...

Persistent link: https://www.econbiz.de/10014075760

On confidence intervals for autoregressive roots and predictive regression

Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 3, pp. 1177-1195

Persistent link: https://www.econbiz.de/10010506470

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Residuals-based tests for cointegration with generalized least-squares detrended data

Perron, Pierre; Rodríguez, Gabriel - In: The econometrics journal 19 (2016) 1, pp. 84-111

Persistent link: https://www.econbiz.de/10011487613

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