-
1
-
-
0001758906
-
Heteroskedasticity and autocorrelation consistent covariance matrix estimators.
-
Andrews, D.W.K. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimators. Econometrica 59, 817-58.
-
(1991)
Econometrica
, vol.59
, pp. 817-858
-
-
Andrews, D.W.K.1
-
2
-
-
38249001456
-
Higher order sample autocorrelations and the unit root hypothesis.
-
Bierens, H.J. (1993). Higher order sample autocorrelations and the unit root hypothesis. Journal of Econometrics 57, 137-60.
-
(1993)
Journal of Econometrics
, vol.57
, pp. 137-160
-
-
Bierens, H.J.1
-
3
-
-
0002628833
-
Testing the unit root hypothesis against nonlinear trend stationarity, with an application to the price level and interest rate in the U.S. Journal of Econometrics
-
Bierens, H.J. (1997). Testing the unit root hypothesis against nonlinear trend stationarity, with an application to the price level and interest rate in the U.S. Journal of Econometrics 81, 29-64.
-
(1997)
, vol.81
, pp. 29-64
-
-
Bierens, H.J.1
-
4
-
-
0004218680
-
Topics in Advanced Econometrics: Estimation, Testing and Specification of Cross-Section and Time Series Models.
-
Cambridge: Cambridge University Press
-
Bierens, H.J. (1994). Topics in Advanced Econometrics: Estimation, Testing and Specification of Cross-Section and Time Series Models. Cambridge: Cambridge University Press.
-
(1994)
-
-
Bierens, H.J.1
-
5
-
-
33746299651
-
Testing stationarity and trend stationarity against the unit root hypothesis.
-
Bierens, H.J., and S. Guo (1993). Testing stationarity and trend stationarity against the unit root hypothesis. Econometric Reviews 12, 1-32.
-
(1993)
Econometric Reviews
, vol.12
, pp. 1-32
-
-
Bierens, H.J.1
Guo, S.2
-
6
-
-
0003407041
-
Convergence of Probability Measures.
-
New York: John Wiley
-
Billingsley, P. (1968). Convergence of Probability Measures. New York: John Wiley.
-
(1968)
-
-
Billingsley, P.1
-
7
-
-
85036258669
-
Distribution of the estimators for autoregressive times series with a unit root.
-
Dickey, D.A., and W.A. Fuller (1979). Distribution of the estimators for autoregressive times series with a unit root. Journal of the American Statistical Association 74, 427-31.
-
(1979)
Journal of the American Statistical Association
, vol.74
, pp. 427-431
-
-
Dickey, D.A.1
Fuller, W.A.2
-
8
-
-
0000472488
-
Likelihood ratio statistics for autoregressive time series with a unit root.
-
Dickey, D.A., and W.A. Fuller (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49, 1057-72.
-
(1981)
Econometrica
, vol.49
, pp. 1057-1072
-
-
Dickey, D.A.1
Fuller, W.A.2
-
9
-
-
0003485658
-
Introduction to Statistical Time Series.
-
New York: John Wiley
-
Fuller, W.A. (1996). Introduction to Statistical Time Series. New York: John Wiley.
-
(1996)
-
-
Fuller, W.A.1
-
10
-
-
0004296209
-
Econometric Analysis.
-
Upper Saddle River, NJ: Prentice Hall
-
Green, W. (1997). Econometric Analysis. Upper Saddle River, NJ: Prentice Hall.
-
(1997)
-
-
Green, W.1
-
11
-
-
0003808669
-
Introduction to Mathematical Statistics.
-
London: Macmillan
-
Hogg, R.V., and A.T. Craig (1978). Introduction to Mathematical Statistics. London: Macmillan.
-
(1978)
-
-
Hogg, R.V.1
Craig, A.T.2
-
12
-
-
34247480179
-
Testing the null of stationarity against the alternative of a unit root.
-
Kwiatkowski, D., P.C.B. Phillips, P. Schmidt, and Y. Shin (1992). Testing the null of stationarity against the alternative of a unit root. Journal of Econometrics 54, 159-78.
-
(1992)
Journal of Econometrics
, vol.54
, pp. 159-178
-
-
Kwiatkowski, D.1
Phillips, P.C.B.2
Schmidt, P.3
Shin, Y.4
-
13
-
-
0000706085
-
A simple positive definite heteroskedasticity and autocorrelation consistent covariance matrix.
-
Newey, W.K., and K.D. West (1987). A simple positive definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-8.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
14
-
-
27644580196
-
Trends and random walks in macroeconomic time series: further evidence from a new approach.
-
Perron, P. (1988). Trends and random walks in macroeconomic time series: further evidence from a new approach. Journal of Economic Dynamics and Control 12, 297-332.
-
(1988)
Journal of Economic Dynamics and Control
, vol.12
, pp. 297-332
-
-
Perron, P.1
-
15
-
-
0000899296
-
The great crash, the oil price shock and the unit root hypothesis.
-
Perron, P. (1989). The great crash, the oil price shock and the unit root hypothesis. Econometrica 57, 1361-402.
-
(1989)
Econometrica
, vol.57
, pp. 1361-1402
-
-
Perron, P.1
-
16
-
-
84948500109
-
Testing the unit root in a time series with a changing mean.
-
Perron, P. (1990). Testing the unit root in a time series with a changing mean. Journal of Business and Economic Statistics 8, 153-62.
-
(1990)
Journal of Business and Economic Statistics
, vol.8
, pp. 153-162
-
-
Perron, P.1
-
17
-
-
33646790699
-
Nonstationarity and level shifts with an application to purchasing power parity.
-
Perron, P., and T.J. Vogelsang (1992). Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics 10, 301-20.
-
(1992)
Journal of Business and Economic Statistics
, vol.10
, pp. 301-320
-
-
Perron, P.1
Vogelsang, T.J.2
-
18
-
-
0000308535
-
Time series regression with a unit root.
-
Phillips, P.C.B. (1987). Time series regression with a unit root. Econometrica 55, 277-301.
-
(1987)
Econometrica
, vol.55
, pp. 277-301
-
-
Phillips, P.C.B.1
-
19
-
-
77956888124
-
Testing for a unit root in time series regression.
-
Phillips, P.C.B., and P. Perron (1988). Testing for a unit root in time series regression. Biometrika 75, 335-46.
-
(1988)
Biometrika
, vol.75
, pp. 335-346
-
-
Phillips, P.C.B.1
Perron, P.2
-
20
-
-
19044371729
-
Testing for unit roots in autoregressive-moving average of unknown order.
-
Said, S.E., and D.A. Dickey (1984). Testing for unit roots in autoregressive-moving average of unknown order. Biometrika 71, 599-607.
-
(1984)
Biometrika
, vol.71
, pp. 599-607
-
-
Said, S.E.1
Dickey, D.A.2
-
21
-
-
28444488750
-
Further evidence on the great crash, the oil price shock, and the unit root hypothesis.
-
Zivot, E., and D.W.K. Andrews (1992). Further evidence on the great crash, the oil price shock, and the unit root hypothesis. Journal of Business and Economic Statistics 10, 251-70.
-
(1992)
Journal of Business and Economic Statistics
, vol.10
, pp. 251-270
-
-
Zivot, E.1
Andrews, D.W.K.2
|