Inference in a nearly integrated autoregressive model with nonnormal innovations

DOI10.1016/S0304-4076(97)00040-7zbMath0888.62094MaRDI QIDQ1371372

Thomas J. Rothenberg, James H. Stock

Publication date: 7 January 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

unit rootmaximum likelihoodautoregressive modelsrobust inferencepower envelope

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (16)

A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model ⋮ Efficient tests for the presence of a pair of complex conjugate unit roots in real time series ⋮ The finite-sample performance of robust unit root tests ⋮ Unit root quantile autoregression testing using covariates ⋮ Testing for a Unit Root in Noncausal Autoregressive Models ⋮ Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots ⋮ A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series ⋮ Imposing inequality restrictions: Efficiency gains from economic theory ⋮ Statistical Adequacy and the Testing of Trend Versus Difference Stationarity ⋮ Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1) ⋮ A class of simple distribution-free rank-based unit root tests ⋮ Parametric and Semi-Parametric Efficient Tests for Parameter Instability ⋮ ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS ⋮ TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT ⋮ Semiparametrically point-optimal hybrid rank tests for unit roots ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS

Cites Work

• Asymptotic inference for nearly nonstationary AR(1) processes
• Maximum likelihood type estimation for nearly nonstationary autoregressive time series
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• The joint density of two functionals of Brownian motion
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Regression Theory for Near-Integrated Time Series
• Efficient Tests for an Autoregressive Unit Root
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