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Estimation and inference in nearly unbalanced, nearly cointegrated systems

Ng, Serena; Perron, Pierre - 1995

Persistent link: https://www.econbiz.de/10001512729

An autoregressive spectral density estimator at frequency zero for nonstationarity tests

Perron, Pierre; Ng, Serena - In: Econometric theory 14 (1998) 5, pp. 560-603

Persistent link: https://www.econbiz.de/10001381121

Useful modifications to some unit root tests with dependent errors and their local asymptotic properties

Perron, Pierre - In: The review of economic studies 63 (1996) 3, pp. 435-463

Persistent link: https://www.econbiz.de/10001201701

Lag length selection and the construction of unit root tests with good size and power

Ng, Serena; Perron, Pierre - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 6, pp. 1519-1554

Persistent link: https://www.econbiz.de/10001624975

Estimation and inference in nearly unbalanced nearly cointegrated systems

Ng, Serena - In: Journal of econometrics 79 (1997) 1, pp. 53-81

Persistent link: https://www.econbiz.de/10001220088

A Note on the Selection of Time Series Models

Ng, Serena; Perron, Pierre - 2005

We consider issues related to the order of an autoregression selected using information criteria. We study the sensitivity of the estimated order to (i) whether the effective number of observations is held fixed when estimating models of different order, (ii) whether the estimate of the variance...

Persistent link: https://www.econbiz.de/10014067620