RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS

DOI10.1111/j.1467-9892.1995.tb00255.xzbMath0851.62058OpenAlexW1977123681MaRDI QIDQ4864579

Alastair R. Hall

Publication date: 11 November 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00255.x

zbMATH Keywords

time seriesunit root testsorder estimationinstrumental variables estimationautoregressive moving-average modelsmodel selection procedureresidual autocovariancesleast squares residual autocorrelations

Mathematics Subject Classification ID

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

Uses Software

• nlmdl

Cites Work

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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
• Optimal instrumental variable estimates of the AR parameters of an ARMA process
• The equivalence of two tests of time series model adequacy
• On a measure of lack of fit in time series models
• Unit Root Tests Based on Instrumental Variables Estimation
• Time Series Regression with a Unit Root
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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