Results 261 to 270 of about 1,613,594 (302)
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Econometrica, 1981
Summary: [For part I see ibid. 49, 753-779 (1981; Zbl 0468.62021).] This paper investigates the exact sampling distribution of the least squares estimator of \(\beta\) in the model \(y_ t=\mu +\beta y_{t- 1}+u_ t\) where the \(u_ t\) are independently \(N(0,\sigma^ 2)\). The distribution is calculated for the case where \(y_ 0\) is a known constant and
Evans, G. B. A., Savin, N. E.
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Summary: [For part I see ibid. 49, 753-779 (1981; Zbl 0468.62021).] This paper investigates the exact sampling distribution of the least squares estimator of \(\beta\) in the model \(y_ t=\mu +\beta y_{t- 1}+u_ t\) where the \(u_ t\) are independently \(N(0,\sigma^ 2)\). The distribution is calculated for the case where \(y_ 0\) is a known constant and
Evans, G. B. A., Savin, N. E.
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On time series with randomized unit root and randomized seasonal unit root
Computational Statistics & Data Analysis, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Li, WK, Fong, PW
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Performance of unit-root tests for non linear unit-root and partial unit-root processes
Communications in Statistics - Theory and Methods, 2016ABSTRACTThis paper investigates the finite-sample performance of the augmented Dickey–Fuller (ADF), Phillips–Perron (PP), momentum threshold autoregressive (M-TAR), Kapetanios–Shin–Snell (KSS), and the inf-t unit-root tests. Simulation results show that the ADF and KSS tests have better size, whereas other tests generate severe size distortions when ...
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Unit roots: Periodogram ordinate
Statistics & Probability Letters, 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bhattacharyya, B. B. +2 more
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Econometric Theory, 2006
This paper develops a dynamic switching model, with a random walk and a stationary regime, where the time spent in the random walk regime is endogeneously predetermined. More precisely, we assume that the process is recursively defined by
Gourieroux, Christian +1 more
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This paper develops a dynamic switching model, with a random walk and a stationary regime, where the time spent in the random walk regime is endogeneously predetermined. More precisely, we assume that the process is recursively defined by
Gourieroux, Christian +1 more
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Marginal likelihood and unit roots
Journal of Econometrics, 2007zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Francke, M.K., de Vos, A.F.
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Applied Economics, 1997
Unit root tests have been known for a long time to suffer from a variety of problems. Considering that simulation methods are obvious candidates for solving some of these problems, the aim of this paper is to assess the performance of bootstrap tests of the unit root hypothesis of the Dickey–Fuller type.
DE ANGELIS D +2 more
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Unit root tests have been known for a long time to suffer from a variety of problems. Considering that simulation methods are obvious candidates for solving some of these problems, the aim of this paper is to assess the performance of bootstrap tests of the unit root hypothesis of the Dickey–Fuller type.
DE ANGELIS D +2 more
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Inconsistency of a Unit Root Test Against a Stochastic Unit Root Process [PDF]
SSRN Electronic Journal, 2008 In this article, we develop the asymptotic theory of Hwang and Basawa (2005) for explosive random coefficient autoregressive (ERCA) models. Applying the theory, we prove that a locally best invariant (LBI) test in McCabe and Tremayne (1995), which is for the null of a unit root (UR) process against the alternative of a stochastic unit root (STUR ...
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Unit-roots und Unit-root-Tests
2001Unit-roots und Kointegration sind zwei Gebiete der Zeitreihenanalyse, die seit einigen Jahren Gegenstand intensiver Forschungsarbeiten sind und enge Verbindungen zur Okonometrie aufweisen. In der Tat spricht man deshalb heute auch von einer ″time series econometrics″.
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THE NONSTATIONARY FRACTIONAL UNIT ROOT
Econometric Theory, 1999This paper deals with a scalar I(d) process {yj}, where the integration order d is any real number. Under this setting, we first explore asymptotic properties of various statistics associated with {yj}, assuming that d is known and is greater than or equal to ½. Note that {yj} becomes stationary when d < ½, whose case is not our concern here.
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