Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots

DOI10.1016/S0165-1765(99)00254-2zbMath0990.62013OpenAlexW3121390178MaRDI QIDQ1978558

André Lucas, Karim M. Abadir

Publication date: 4 June 2000

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00254-2

zbMATH Keywords

M-estimatorsunit root testsexplicit distribution functions

Mathematics Subject Classification ID

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

Related Items

A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model ⋮ The finite-sample performance of robust unit root tests ⋮ BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• High breakdown-point and high efficiency robust estimates for regression
• Influence functionals for time series (with discussion)
• Testing for a unit root nonstationarity in multivariate autoregressive time series
• 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
• Unbiased estimation as a solution to testing for random walks
• Inference in a nearly integrated autoregressive model with nonnormal innovations
• Classical and Bayesian aspects of robust unit root inference
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Pseudo Maximum Likelihood Methods: Theory
• Testing for a unit root in time series regression
• Testing For Unit Roots: 1
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• The Influence of VAR Dimensions on Estimator Biases
• Time Series Regression with a Unit Root
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case II