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The exact error in estimating the spectral density at the origin

Ng, Serena; Perron, Pierre - 1995

Persistent link: https://www.econbiz.de/10001512725

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

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 - In: Oxford bulletin of economics and statistics 67 (2005) 1, pp. 115-134

Persistent link: https://www.econbiz.de/10002569956

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