M‐Estimation for regressions with integrated regressors and arma errors

DOI10.1046/j.0143-9782.2003.00350.xzbMath1051.62087OpenAlexW2076960043MaRDI QIDQ4828182

Oesook Lee, Dong Wan Shin

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1046/j.0143-9782.2003.00350.x

zbMATH Keywords

endogeneityserial correlation\(M\)-estimatorsARMA errorsregressions with integrated regressors

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Cites Work

• Unnamed Item
• On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
• M-estimation for autoregression with infinite variance
• Adaptive estimation of cointegrating regressions with ARMA errors
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• Regression with integrated regressors
• UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION

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