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Volumn 27, Issue 1, 1998, Pages 69-87

Periodograms of unit root time series: Distributions and tests

(2)  Akdi, Yilmaz a   Dickey, David A a  

a NONE

Author keywords

Frequency; Integration

Indexed keywords


EID: 0011358298     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610929808832651     Document Type: Article
Times cited : (21)

References (10)
  • 1
    • 0010160457 scopus 로고
    • Seasonal unit roots in aggregate U.S. data
    • Beaulieu, J. J. and Miron, J. A. (1993). "Seasonal unit roots in aggregate U.S. data, Journal of Econometrics, 55, 305-328.
    • (1993) Journal of Econometrics , vol.55 , pp. 305-328
    • Beaulieu, J.J.1    Miron, J.A.2
  • 2
    • 0001403934 scopus 로고
    • Limiting distributions of least squares estimates of unstable autoregressive processes
    • Chan, N. H. and Wei, C. Z. (1988). "Limiting distributions of least squares estimates of unstable autoregressive processes," Annals of Statistics, 16, 367-401
    • (1988) Annals of Statistics , vol.16 , pp. 367-401
    • Chan, N.H.1    Wei, C.Z.2
  • 3
    • 38249000654 scopus 로고
    • Testing for a unit root by frequency domain regression
    • Choi, I. and Phillips, P. C. B. (1993). "Testing for a unit root by frequency domain regression," Journal of Econometrics, 59, 263-286.
    • (1993) Journal of Econometrics , vol.59 , pp. 263-286
    • Choi, I.1    Phillips, P.C.B.2
  • 4
    • 85036258669 scopus 로고
    • 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
  • 6
    • 0000409198 scopus 로고
    • Estimation of the parameters of stochastic difference equations
    • Fuller, W. A., Hasza, D. P. and Goebel, J. J. (1981). "Estimation of the parameters of stochastic difference equations," Annals of Statistics, 9, 531-543.
    • (1981) Annals of Statistics , vol.9 , pp. 531-543
    • Fuller, W.A.1    Hasza, D.P.2    Goebel, J.J.3
  • 7
    • 38149147786 scopus 로고
    • Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation
    • Ghysels, E., Lee, H. S. and Noh, J. (1994). "Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, 62, 415-442
    • (1994) Journal of Econometrics , vol.62 , pp. 415-442
    • Ghysels, E.1    Lee, H.S.2    Noh, J.3
  • 9
    • 0019675649 scopus 로고
    • Spurious periodicity in inappropriately detrended time series
    • Nelson, C. R and Kang, H. (1981). "Spurious periodicity in inappropriately detrended time series," Econometrica, 49, 741-751.
    • (1981) Econometrica , vol.49 , pp. 741-751
    • Nelson, C.R.1    Kang, H.2
  • 10
    • 38149147238 scopus 로고
    • Deciding between I(0) and I(1)
    • Stock, J. H. (1994), "Deciding between I(0) and I(1)," Journal of Econometrics, 63, 105-131.
    • (1994) Journal of Econometrics , vol.63 , pp. 105-131
    • Stock, J.H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.