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ArticleLocal asymptotic distribution related to the AR(1) model with dependent errors

Seiji Nabeya1994

Article1994

Local asymptotic distribution related to the AR(1) model with dependent errors

Seiji Nabeya · Pierre Perron Z

51 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Statistical and numerical algorithms Diverse Scientific and Economic Studies

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1988Tests For Unit Roots: A Monte Carlo Investigation 1987Towards a Unified Asymptotic Theory for Autoregression 1989Tests for Unit Roots: A Monte Carlo Investigation 1984Testing for Unit Roots in Seasonal Time Series 1984Testing for Unit Roots in Seasonal Time Series

Cited by

2001Testing for a Shift in Trend when Serial Correlation is of Unknown Form 2013Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)2013Understanding Spurious Regression in Financial Economics 2009Political regimes, business cycles, seasonalities, and returns 1994Asymptotic Distributions of the Least-Squares Estimators and Test Statistics in the Near Unit Root Model with Non-Zero Initial Value and Local Drift and Trend

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1995Tests for seasonal unit roots general to specific or specific to general?article · 7 shared references 1993Higher-order sample autocorrelations and the unit root hypothesisarticle · 7 shared references 2004Efficient tests for the presence of a pair of complex conjugate unit roots in real time seriesarticle · 7 shared references 1996The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errorsarticle · 7 shared references 2008Testing a Unit Root Based on Aggregate Time Seriesarticle · 7 shared references 2002Nonparametric tests for unit roots and cointegrationarticle · 6 shared references

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Year1994

Typearticle

Published1994-06-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations51

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0304-4076(94)90023-x

openalex_workW2001930004

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2002

PPP May not Hold Afterall: A Further Investigation

1996The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors

2015On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles