CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
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Publication:4512729
DOI10.1017/S0266466699152010zbMath0985.62072MaRDI QIDQ4512729
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Publication date: 23 May 2002
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
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TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS ⋮ Nonlinear IV panel unit root testing under structural breaks in the error variance ⋮ A simple nonstationary-volatility robust panel unit root test ⋮ Nonlinear instrumental variable estimation of an autoregression. ⋮ New tests for unit roots in autoregressive processes with possibly infinite variance errors ⋮ Volatility regressions with fat tails ⋮ Instrumental variable and variable addition based inference in predictive regressions ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ A small sample confidence interval for autoregressive parameters ⋮ Taking a new contour: a novel approach to panel unit root tests ⋮ Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators. ⋮ A new instrumental variable estimation for diffusion processes ⋮ Recursive demeaning and deterministic seasonality ⋮ A reexamination of stock return predictability ⋮ An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models. ⋮ A Cauchy estimator test for autocorrelation ⋮ Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals ⋮ Asymptotic Theory and Unified Confidence Region for an Autoregressive Model ⋮ Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments ⋮ Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances ⋮ Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form
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