THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
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Publication:3632393
DOI10.1017/S0266466608080250zbMath1284.62141OpenAlexW1995507349MaRDI QIDQ3632393
Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466608080250
Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17) Asymptotic properties of parametric tests (62F05)
Related Items (9)
INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES ⋮ Stationarity test based on density approach ⋮ ON NONPARAMETRIC INFERENCE IN THE REGRESSION DISCONTINUITY DESIGN ⋮ Robust inference in nonstationary time series models ⋮ Summability of stochastic processes -- a generalization of integration for non-linear processes ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ Reducing the size distortion of the KPSS test ⋮ Wavelet energy ratio unit root tests ⋮ Ratio tests under limiting normality
Cites Work
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- A theory of robust long-run variance estimation
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
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- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
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- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS
- New Tools for Understanding Spurious Regressions
- Simple Robust Testing of Regression Hypotheses
- Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters
- An Asymtotic Theory of Bayesian Inference for Time Series
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