A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model

Journal of Econometrics

Volumn 119, Issue 1, 2004, Pages 45-71

  Abadir, Karim M ^a   Lucas, André ^b  

^a UNIVERSITY OF YORK   (United Kingdom)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Exact limiting distribution theory; Hypergeometric functions; Optimal non Gaussian quasi likelihoods; Sufficient functionals of Ornstein Uhlenbeck processes; Unit root test

Indexed keywords

CORRELATION METHODS; FUNCTIONS; MAXIMUM LIKELIHOOD ESTIMATION;

EXACT LIMITING DISTRIBUTION THEORY; HYPERGEOMETRIC FUNCTIONS; OPTIMAL NON-GAUSSIAN QUASI-LIKELIHOODS; SUFFICIENT FUNCTIONALS OF ORNSTEIN-UHLENBECK PROCESSES; UNIT ROOT TEST;

REGRESSION ANALYSIS;

EID: 1142276038     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00155-6     Document Type: Article

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