Cauchy estimators for autoregressive processes with applications to unit root tests and confidence intervals

Econometric Theory

Volumn 15, Issue 2, 1999, Pages 165-176

  So, Beong Soo ^a   Shin, Dong Wan ^a  

^a Ewha Womans University   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 17944379981     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466699152010     Document Type: Article

References (12)

1. Andrews, D.W.K. (1993) Exactly median-unbiased estimation of first order autoregressive/unit root models. Econometrica 61, 139-165.
2. Cauchy, A. (1836) On a new formula for solving the problem of interpolation in a manner applicable to physical investigations. Philosophical Magazine 8, 459-468.
3. Dickey, D.A. & W.A. Fuller (1979) Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427-431.
4. Dickey, D.A., D.P. Hasza, & W.A. Fuller (1984) Testing for unit roots in seasonal time series. Journal of the American Statistical Association 79, 355-367.
5. Fuller, W.A. (1996) Introduction to Statistical Time Series, 2nd ed. New York: Wiley.
6. Hansen, B.E. (1992) Convergence to stochastic integrals for dependent heterogeneous processes. Econometric Theory 8, 489-500.
7. IMSL (1989) User's Manual. Houston, Texas: IMSL.
8. Karatzas, I. & S.E. Shreve (1987) Brownian Motion and Stochastic Calculus. New York: Springer-Verlag.
9. Kotz, S. & N.L. Johnson (1983) Encyclopedia of Statistical Sciences, vol. 8. New York: Wiley.
10. Kurtz, T.G. & P. Protter (1991) Weak limit theorems for stochastic integrals and stochastic differential equations. Annals of Probability 19, 1035-1070.
11. Shin, D.W. & B.S. So (1997) Semiparametric unit root test based on symmetric estimators. Statistics and Probability Letters 33, 177-184.
12. Shin, D.W. & B.S. So (1999) Recursive mean adjustment in time series inferences. Statistics and Probability Letters, forthcoming.