Functional‐coefficient models under unit root behaviour

DOI10.1111/j.1368-423X.2005.00160.xzbMath1073.62075OpenAlexW3124520187MaRDI QIDQ5703226

Ted Juhl

Publication date: 8 November 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00160.x

zbMATH Keywords

joint confidence intervals

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

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Cites Work

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• Mixing properties of ARMA processes
• Distribution theory for unit root tests with conditional heteroskedasticity
• Consistent model specification tests for time series econometric models
• Stochastic Limit Theory
• Threshold Autoregression with a Unit Root

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