The role of information in nonstationary regression

DOI10.1080/02331888.2019.1605516zbMath1427.62102OpenAlexW2936643189WikidataQ128045502 ScholiaQ128045502MaRDI QIDQ5742599

Patrick Marsh

Publication date: 15 May 2019

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/19-04.pdf

zbMATH Keywords

time seriesinformationunit rootKullback-Leibler informationnonlinear trend

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric tests (62F05)

Cites Work

• Robust tests for spherical symmetry and their application to least squares regression
• Preferred point geometry and statistical manifolds
• The impact of the initial condition on covariate augmented unit root tests
• On Fisher information inequalities in the presence of nuisance parameters
• Testing for unit roots with stationary covariates
• REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
• THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
• Trends versus Random Walks in Time Series Analysis
• Information, ancillarity, and sufficiency in the presence of nuisance parameters
• On Choosing and Bounding Probability Metrics
• Efficient Tests for an Autoregressive Unit Root
• On the inconsistency of the unrestricted estimator of the information matrix near a unit root