Nonlinear regression for unit root models with autoregressive errors

DOI10.1016/J.ECONLET.2008.02.021zbMath1255.62256OpenAlexW2000616448MaRDI QIDQ1934876

Chang Sik Kim, In-Moo Kim

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.02.021

zbMATH Keywords

nonlinear least squaresaugmented Dickey-Fuller test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) General nonlinear regression (62J02)

Cites Work

• Limiting distributions of least squares estimates of unstable autoregressive processes
• Nonlinear instrumental variable estimation of an autoregression.
• Testing for unit roots in autoregressive-moving average models of unknown order
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonstationary Binary Choice
• Unit Roots, Cointegration, and Structural Change

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