ASYMPTOTIC DISTRIBUTIONS OF UNIT-ROOT TESTS WHEN THE PROCESS IS NEARLY STATIONARY

被引：38

作者：

PANTULA, SG

机构：

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1991年 / 9卷 / 01期

关键词：

AUTOREGRESSIVE AND MOVING AVERAGE PROCESSES; LIMITING DISTRIBUTIONS; RANDOM WALK; WHITE NOISE;

D O I：

10.2307/1391940

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：63 / 71

页数：9

共 16 条

[1]

AHTOLA J, 1984, BIOMETRIKA, V71, P263

[2] ASYMPTOTIC INFERENCE FOR NEARLY NONSTATIONARY AR(1) PROCESSES [J].

CHAN, NH ;

WEI, CZ .

ANNALS OF STATISTICS, 1987, 15 (03) :1050-1063

[3] LIMITING DISTRIBUTIONS OF LEAST-SQUARES ESTIMATES OF UNSTABLE AUTOREGRESSIVE PROCESSES [J].

CHAN, NH ;

WEI, CZ .

ANNALS OF STATISTICS, 1988, 16 (01) :367-401

[4] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J].

DICKEY, DA ;

FULLER, WA .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) :427-431

[5]

FULLER WA, 1976, INTRO STATISTICAL TI

[6] TESTING FOR A UNIT-ROOT IN THE PRESENCE OF MOVING AVERAGE ERRORS [J].

HALL, A .

BIOMETRIKA, 1989, 76 (01) :49-56

[7]

LJUNG GM, 1978, BIOMETRIKA, V65, P99

[8] OPTIMAL INSTRUMENTAL VARIABLE ESTIMATOR OF THE AR-PARAMETER OF AN ARMA (1,1) PROCESS [J].

PANTULA, SG .

ECONOMETRIC THEORY, 1989, 5 (01) :173-173

[9] TRENDS AND RANDOM-WALKS IN MACROECONOMIC TIME-SERIES - FURTHER EVIDENCE FROM A NEW APPROACH [J].

PERRON, P .

JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1988, 12 (2-3) :297-332

[10] TIME-SERIES REGRESSION WITH A UNIT-ROOT [J].

PHILLIPS, PCB .

ECONOMETRICA, 1987, 55 (02) :277-301

← 1 2 →