Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes

DOI10.1016/S0304-4076(00)00026-9zbMath1075.62615OpenAlexW3023387016WikidataQ127898868 ScholiaQ127898868MaRDI QIDQ1841189

Jean-Marie Dufour, Olivier Torrès

Publication date: 2000

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00026-9

zbMATH Keywords

Markov processTime seriesAutoregressive processInvestmentAutocorrelationExact testDynamic modelDistributed-lag modelFinite-sample testIntercalary independenceOgawara-HannanTwo-sided autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (4)

Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity ⋮ Finite-sample exact tests for linear regressions with bounded dependent variables ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.

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