The "devil's horns" problem of inverting confluent characteristic functions

Econometrica

Volumn 65, Issue 5, 1997, Pages 1221-1225

  Abadir, Karim M ^a   Rockinger, Michael ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0347076208     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171886     Document Type: Article

References (18)

1. ABADIR, K. M. (1992): "A Distribution Generating Equation for Unit-Root Statistics," Oxford Bulletin of Economics and Statistics, 54, 305-323.
2. _ (1993): "On the Asymptotic Power of Unit Root Tests," Econometric Theory, 9, 189-221.
3. _ (1995a): "The Joint Density of Two Functionals of a Brownian Motion," Mathematical Methods of Statistics, 4, 449-462.
4. _ (1995b): "An Introduction to Hypergeometric Functions for Economists," University of Exeter Discussion Paper in Economics, 95/10.
5. EVANS, G. B. A., AND N. E. SAVIN (1981): "Testing for Unit Roots: 1," Econometrica, 49, 753-779.
6. HOLLY, A., AND G. M. ROCKINGER (1988): "Exact and Approximate Distribution of the t Ratio Test Statistic in an AR (1) Model," in Dynamic Econometric Modelling, ed. by W. A. Barnett, E. R. Berndt, and H. White. Cambridge: Cambridge University Press, Ch. 9.
7. JENSEN, S. T., AND B. NIELSEN (1995): "Convexity of the Set of Convergence Points for a Sequence of Laplace Transforms," Institute of Mathematical Statistics (Copenhagen), Preprint 4, forthcoming in Statistics and Probability Letters.
8. LARSSON, R. (1995): "The Asymptotic Distributions of Some Test Statistics in Near-Integrated AR Processes," Econometric Theory, 11, 306-330.
9. NABEYA, S., AND P. PERRON (1994): "Local Asymptotic Distribution Related to the AR(1) Model with Dependent Errors," Journal of Econometrics, 62, 229-264.
10. NABEYA, S., AND K. TANAKA (1988): "Asymptotic Theory of a Test for the Constancy of Regression Coefficients Against the Random Walk Alternative," Annals of Statistics, 16, 218-235.
11. _ (1990a): "A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors," Econometrica, 58, 145-163.
12. _ (1990b): "Limiting Power of Unit-Root Tests in Time-Series Regression," Journal of Econometrics, 46, 247-271.
13. PERRON, P. (1989): "The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model," Econometric Theory, 5, 241-255.
14. _ (1991): "A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept," Econometrica, 59, 211-236.
15. PHILLIPS, P. C. B. (1987): "Towards a Unified Asymptotic Theory for Autoregression," Biometrika, 74, 535-547.
16. SPIEGEL, M. R. (1981): Complex Variables. New York: McGraw-Hill.
17. WHITE, J. S. (1958): "The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case," Annals of Mathematical Statistics, 29, 1188-1197.
18. WHITTAKER, E. T., AND G. N. WATSON (1927): A Course of Modern Analysis, 4th Ed. (15th printing, 1988). Cambridge: Cambridge University Press.