-
1
-
-
0001758906
-
Heteroskedastic and Autocorrelation Consistent Covariance Matrix Estimation
-
ANDREWS, D. W. K. (1991), "Heteroskedastic and Autocorrelation Consistent Covariance Matrix Estimation", Econometrica, 59, 817-854.
-
(1991)
Econometrica
, vol.59
, pp. 817-854
-
-
Andrews, D.W.K.1
-
2
-
-
0000383942
-
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
-
ANDREWS, D. W. K. and MONAHAN, J. (1992), "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator", Econometrica, 60, 953-966.
-
(1992)
Econometrica
, vol.60
, pp. 953-966
-
-
Andrews, D.W.K.1
Monahan, J.2
-
3
-
-
0001643055
-
Consistent Autoregressive Spectral Estimates
-
BERK, K. N. (1974), "Consistent Autoregressive Spectral Estimates", The Annals of Statistics, 2, 489-502.
-
(1974)
The Annals of Statistics
, vol.2
, pp. 489-502
-
-
Berk, K.N.1
-
4
-
-
84963043564
-
On the Theory of Testing for Unit Roots in Observed Time Series
-
BHARGAVA, A. (1986), "On the Theory of Testing for Unit Roots in Observed Time Series", Review of Economic Studies, 53, 369-384.
-
(1986)
Review of Economic Studies
, vol.53
, pp. 369-384
-
-
Bhargava, A.1
-
5
-
-
0001397560
-
Pitfalls and Opportunities, What Macroeconomists Should Know about Unit Roots
-
CAMPBELL, J. Y. and PERRON, P. (1991), "Pitfalls and Opportunities, What Macroeconomists Should Know About Unit Roots", NBER Macroeconomics Annual, 6, 141-201.
-
(1991)
NBER Macroeconomics Annual
, vol.6
, pp. 141-201
-
-
Campbell, J.Y.1
Perron, P.2
-
6
-
-
85036258669
-
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
-
DICKEY, D. A. and FULLER, W. A. (1979), "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association, 74, 427-431.
-
(1979)
Journal of the American Statistical Association
, vol.74
, pp. 427-431
-
-
Dickey, D.A.1
Fuller, W.A.2
-
7
-
-
0039789821
-
The Effects of Additive Outliers on Tests of Unit Roots and Cointegration
-
FRANSES, P. H. and HALDRUP, N. (1994), "The Effects of Additive Outliers on Tests of Unit Roots and Cointegration", Journal of Business and Economic Statistics, 12, 471-478.
-
(1994)
Journal of Business and Economic Statistics
, vol.12
, pp. 471-478
-
-
Franses, P.H.1
Haldrup, N.2
-
10
-
-
38249017848
-
Some Evidence on the Accuracy of Phillips-Perron Tests Using Alternative Estimates of Nuisance Parameters
-
KIM, K. and SCHMIDT, P. (1990), "Some Evidence on the Accuracy of Phillips-Perron Tests Using Alternative Estimates of Nuisance Parameters", Economic Letters, 34, 345-350.
-
(1990)
Economic Letters
, vol.34
, pp. 345-350
-
-
Kim, K.1
Schmidt, P.2
-
11
-
-
38149146970
-
Local Asymptotic Distributions Related to the AR(I) Model with Dependent Errors
-
NABEYA, S. and PERRON, P. (1994), "Local Asymptotic Distributions Related to the AR(I) Model with Dependent Errors", Journal of Econometrics, 62, 229-264.
-
(1994)
Journal of Econometrics
, vol.62
, pp. 229-264
-
-
Nabeya, S.1
Perron, P.2
-
12
-
-
0001061994
-
Limiting Powers of Unit Root Tests in Time Series Regressions
-
NABEYA, S. and TANAKA, K. (1990), "Limiting Powers of Unit Root Tests in Time Series Regressions", Journal of Econometrics, 46, 247-71.
-
(1990)
Journal of Econometrics
, vol.46
, pp. 247-271
-
-
Nabeya, S.1
Tanaka, K.2
-
13
-
-
0000706085
-
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
-
NEWEY, W. K. and WEST, K. D. (1987), "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55, 703-708.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
15
-
-
0042657411
-
Asymptotic Distributions of Unit Root Tests When the Process is Nearly Stationary
-
PANTULA, S. G. (1991), "Asymptotic Distributions of Unit Root Tests When the Process is Nearly Stationary", Journal of Business and Economic Statistics, 9, 63-71.
-
(1991)
Journal of Business and Economic Statistics
, vol.9
, pp. 63-71
-
-
Pantula, S.G.1
-
16
-
-
84974399466
-
Regressions with Integrated Processes, Part I
-
PARK, J. Y. and PHILLIPS, P. C. B. (1988), "Regressions with Integrated Processes, Part I", Econometric Theory, 4, 468-498.
-
(1988)
Econometric Theory
, vol.4
, pp. 468-498
-
-
Park, J.Y.1
Phillips, P.C.B.2
-
18
-
-
0039564221
-
The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors
-
PERRON, P. (1996), "The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors", Journal of Econometrics, 70, 316-350.
-
(1996)
Journal of Econometrics
, vol.70
, pp. 316-350
-
-
Perron, P.1
-
20
-
-
0000308535
-
Time Series Regression with Unit Roots
-
PHILLIPS, P. C. B. (1987), "Time Series Regression with Unit Roots", Econometrica, 55, 277-302.
-
(1987)
Econometrica
, vol.55
, pp. 277-302
-
-
Phillips, P.C.B.1
-
21
-
-
0000784320
-
Asymptotic Properties of Residual Based Tests for Cointegration
-
PHILLIPS, P. C. B. and OULIARIS, S. (1990), "Asymptotic Properties of Residual Based Tests for Cointegration", Econometrica, 58, 165-193.
-
(1990)
Econometrica
, vol.58
, pp. 165-193
-
-
Phillips, P.C.B.1
Ouliaris, S.2
-
22
-
-
77956888124
-
Testing for a Unit Root in Time Series Regression
-
PHILLIPS, P. C. B. and PERRON, P. (1988), "Testing for a Unit Root in Time Series Regression", Biometrika, 75, 335-346.
-
(1988)
Biometrika
, vol.75
, pp. 335-346
-
-
Phillips, P.C.B.1
Perron, P.2
-
23
-
-
19044371729
-
Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order
-
SAID, S. E. and DICKEY, D. A. (1984), "Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order", Biometrika, 71, 599-607.
-
(1984)
Biometrika
, vol.71
, pp. 599-607
-
-
Said, S.E.1
Dickey, D.A.2
-
24
-
-
0001248294
-
Testing for Residuals from Least Squares Regression Being Generated by Gaussian Random Walk
-
SARGAN, J. D. and BHARGAVA, A. (1983), "Testing for Residuals from Least Squares Regression Being Generated by Gaussian Random Walk", Econometrica, 51, 153-174.
-
(1983)
Econometrica
, vol.51
, pp. 153-174
-
-
Sargan, J.D.1
Bhargava, A.2
-
25
-
-
0002814040
-
Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data
-
SCHWERT, G. W. (1987), "Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data", Journal of Monetary Economics, 20, 73-103.
-
(1987)
Journal of Monetary Economics
, vol.20
, pp. 73-103
-
-
Schwert, G.W.1
-
26
-
-
84952511099
-
Tests for Unit Roots, A Monte Carlo Investigation
-
SCHWERT, G. W. (1989), "Tests for Unit Roots, A Monte Carlo Investigation", Journal of Business and Economic Statistics, 7, 147-160.
-
(1989)
Journal of Business and Economic Statistics
, vol.7
, pp. 147-160
-
-
Schwert, G.W.1
-
29
-
-
0000398784
-
The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
-
WHITE, J. (1958), "The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case", Annals of Mathematical Statistics, 29, 1188-1197.
-
(1958)
Annals of Mathematical Statistics
, vol.29
, pp. 1188-1197
-
-
White, J.1
|