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Moment approximation for least squares estimators in dynamic regression models with a unit root

Kiviet, J. F.; Phillips, Garry D. A. - 1999

Persistent link: https://www.econbiz.de/10001398338

Moment approximation for least-squares estimators in dynamic regression models with a unit root

Kiviet, J. F.; Phillips, Garry D. A. - In: The econometrics journal 8 (2005) 2, pp. 115-142

Persistent link: https://www.econbiz.de/10003018790

Moment approximation for least squares estimators in dynamic regression models with a unit root

Kiviet, J. F.; Phillips, Garry D. A. - 2001

Persistent link: https://www.econbiz.de/10001633083

New majorization theory in economics and martingale convergence results in econometrics

Ibragimov, Rustam - 2005

Persistent link: https://www.econbiz.de/10003553406

Self-weighted estimation for local unit root regression with applications

Hu, Zhishui; Liu, Nan; Phillips, Peter C. B.; Wang, Qiying - 2024

Persistent link: https://www.econbiz.de/10015076938

Spurios regressions, with AR(1) correction and unit root pretest

Blough, Stephen Richard - 1992 - Rev

Persistent link: https://www.econbiz.de/10000833409

Moment generating function and further exact results for autoregression with multiple frequency unit roots

Pitarakis, Jean-Yves - 1996

Persistent link: https://www.econbiz.de/10000944147

Asymptotic distributions for regression-based seasonal unit root tests in a near-integrated model

Rodrigues, Paulo M. M.; Taylor, Robert - 2003

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Unit root quantile autoregression inference

Koenker, Roger; Xiao, Zhijie - In: Journal of the American Statistical Association : JASA 99 (2004) 467, pp. 775-787

Persistent link: https://www.econbiz.de/10002242185

Partially Linear Models with Unit Roots

Juhl, Ted; Xiao, Zhijie - 2003

This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in...

Persistent link: https://www.econbiz.de/10014117065