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Prewhitened unit root test
Maekawa, Koichi - In: Economics letters 45 (1994) 2, pp. 145-153
Persistent link: https://www.econbiz.de/10001163981
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Edgeworth expansion for the OLS estimator in a time series regression model
Maekawa, Koichi - In: Econometric theory 1 (1985) 2, pp. 223-239
Persistent link: https://www.econbiz.de/10001063971
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Comparing the Wald, LR and LM tests for heteroscedasticity in a linear regression model
Maekawa, Koichi - In: Economics letters 1 (1988), pp. 37-41
Persistent link: https://www.econbiz.de/10001042729
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Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors
Maekawa, Koichi; MacAleer, Michael; He, Zonglu - 2001
In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...
Persistent link: https://www.econbiz.de/10010332196
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"Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors"
He, Zonglu; Maekawa, Koichi; McAleer, Michael - Center for International Research on the Japanese … - 2003
In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...
Persistent link: https://www.econbiz.de/10005467568
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Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors,
Maekawa, Koichi; McAleer, Michael; He, Zonglu - Institute of Social and Economic Research (ISER), Osaka … - 2001
In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...
Persistent link: https://www.econbiz.de/10008479666
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The Cusum Test for Parameter Change in Regression with ARCH Errors
Maekawa, Koichi; Sangyeol; Lee - Econometric Society - 2004
In this paper, we concentrate ourselves on Inclán and Tiao (1994)'s cusum test in regression models with ARCH errors. The ARCH and GARCH models have long been popular in financial time series analysis. For a general review, see Gouriéroux (1997).Inclán and Tiao (1994)'s cusum test was...
Persistent link: https://www.econbiz.de/10005130233
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Finite sample comparisons of the distributions of the OLS and GLS estimators in regression with an integrated regressor and correlated errors
Maekawa, Koichi - In: Econometric reviews 17 (1998) 4, pp. 387-413
Persistent link: https://www.econbiz.de/10001250283
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The distribution of the Durbin-Watson statistic in integrated and near-integrated models
Hisamatsu, Hiroyuki - In: Journal of econometrics 61 (1994) 2, pp. 367-382
Persistent link: https://www.econbiz.de/10001155764
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Asymptotic expansions of the distributions of statistics related to the spectral density matrix in multivariate time series and their applications
Taniguchi, Masanobu - In: Econometric theory 6 (1990) 1, pp. 75-96
Persistent link: https://www.econbiz.de/10001085414