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EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS

https://doi.org/10.1017/s0266466604201050
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-4757-1923-9openalex-snapshot
Testing Statistical Hypotheses
inferredcites →https://doi.org/10.1016/0169-2070(88)90124-0openalex-snapshot
Journal of business and economic statistics
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Journal of the American Statistical Association
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Seasonal integration and cointegration
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Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
inferredcites →https://doi.org/10.1016/0304-4076(95)01739-9openalex-snapshot
Estimating a generalized long memory process
inferredcites →https://doi.org/10.1017/s0266466600007702openalex-snapshot
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models
inferredcites →https://doi.org/10.1017/s0266466601174049openalex-snapshot
ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
inferredcites →https://doi.org/10.1017/s0266466601175055openalex-snapshot
COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?
inferredcites →https://doi.org/10.1017/s0266466699154045openalex-snapshot
THE NONSTATIONARY FRACTIONAL UNIT ROOT
inferredcites →https://doi.org/10.1080/01621459.1979.10482531openalex-snapshot
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
inferredcites →https://doi.org/10.1080/01621459.1993.10476312openalex-snapshot
Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
inferredcites →https://doi.org/10.1080/01621459.1994.10476881openalex-snapshot
Efficient Tests of Nonstationary Hypotheses
inferredcites →https://doi.org/10.1080/01621459.1997.10474076openalex-snapshot
On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
inferredcites →https://doi.org/10.1111/1467-6419.00064openalex-snapshot
A Primer on Unit Root Testing
inferredcites →https://doi.org/10.1111/1467-9892.00233openalex-snapshot
Testing Stochastic Cycles in Macroeconomic Time Series
inferredcites →https://doi.org/10.1111/j.1467-9892.1989.tb00026.xopenalex-snapshot
ON GENERALIZED FRACTIONAL PROCESSES
inferredcites →https://doi.org/10.1111/j.1467-9892.1994.tb00190.xopenalex-snapshot
LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE
inferredcites →https://doi.org/10.1111/j.2517-6161.1995.tb02054.xopenalex-snapshot
Maximum Likelihood Estimation of the Differencing Parameter for Invertible Short and Long Memory Autoregressive Integrated Moving Average Models
inferredcites →https://doi.org/10.1198/073500104000000181openalex-snapshot
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
inferredcites →https://doi.org/10.1214/aoms/1177693494openalex-snapshot
Martingale Central Limit Theorems
inferredcites →https://doi.org/10.1214/aos/1034276623openalex-snapshot
A limit theory for long-range dependence and statistical inference on related models
inferredcites →https://doi.org/10.2307/1912159openalex-snapshot
Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
inferredcites →https://doi.org/10.2307/1913237openalex-snapshot
Time Series Regression with a Unit Root
inferredcites →https://doi.org/10.2307/2171846openalex-snapshot
Efficient Tests for an Autoregressive Unit Root
inferredcites →https://doi.org/10.2307/2291004openalex-snapshot
Efficient Tests of Nonstationary Hypotheses
inferredcites →https://doi.org/10.2307/2938213openalex-snapshot
The Fractional Unit Root Distribution
inferredcites →https://doi.org/10.3386/t0130openalex-snapshot
Efficient Tests for an Autoregressive Unit Root

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes
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ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY
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TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT
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EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES
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SEASONALITY IN ECONOMIC MODELS
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Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
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Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
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Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes
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New fractional Dickey Fuller test
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Efficient inference in multivariate fractionally integrated time series models
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Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models
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Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
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Semiparametric Stationarity and Fractional Unit Roots Tests Based on Data-Driven Multidimensional Increment Ratio Statistics
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The impact of estimation methods and data frequency on the results of long memory assessment
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