Yamamoto, Yohei; Horie, Tetsushi A cross-sectional method for right-tailed panic tests under a moderately local to unity framework. (English) Zbl 07682015 Econom. Theory 39, No. 2, 389-411 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{Y. Yamamoto} and \textit{T. Horie}, Econom. Theory 39, No. 2, 389--411 (2023; Zbl 07682015) Full Text: DOI
Laurent, Sébastien; Shi, Shuping Unit root test with high-frequency data. (English) Zbl 1493.62612 Econom. Theory 38, No. 1, 113-171 (2022). MSC: 62P20 PDFBibTeX XMLCite \textit{S. Laurent} and \textit{S. Shi}, Econom. Theory 38, No. 1, 113--171 (2022; Zbl 1493.62612) Full Text: DOI
Berenguer-Rico, Vanessa; Nielsen, Bent Cumulated sum of squares statistics for nonlinear and nonstationary regressions. (English) Zbl 1436.62412 Econom. Theory 36, No. 1, 1-47 (2020). MSC: 62M10 62J02 60F05 62E20 PDFBibTeX XMLCite \textit{V. Berenguer-Rico} and \textit{B. Nielsen}, Econom. Theory 36, No. 1, 1--47 (2020; Zbl 1436.62412) Full Text: DOI
Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point. (English) Zbl 1433.62261 Econom. Theory 35, No. 6, 1201-1233 (2019). MSC: 62M10 62P20 65C05 PDFBibTeX XMLCite \textit{F. Iacone} et al., Econom. Theory 35, No. 6, 1201--1233 (2019; Zbl 1433.62261) Full Text: DOI
Greenaway-McGrevy, Ryan Asymptotically efficient model selection for panel data forecasting. (English) Zbl 1420.62486 Econom. Theory 35, No. 4, 842-899 (2019). MSC: 62P20 62M10 62M20 PDFBibTeX XMLCite \textit{R. Greenaway-McGrevy}, Econom. Theory 35, No. 4, 842--899 (2019; Zbl 1420.62486) Full Text: DOI
Rho, Yeonwoo; Shao, Xiaofeng Bootstrap-assisted unit root testing with piecewise locally stationary errors. (English) Zbl 1415.62066 Econom. Theory 35, No. 1, 142-166 (2019). MSC: 62M10 62G09 62M07 PDFBibTeX XMLCite \textit{Y. Rho} and \textit{X. Shao}, Econom. Theory 35, No. 1, 142--166 (2019; Zbl 1415.62066) Full Text: DOI arXiv
Li, Dong; Wu, Wuqing Renorming volatilities in a family of GARCH models. (English) Zbl 1406.62097 Econom. Theory 34, No. 6, 1370-1382 (2018). MSC: 62M10 60J65 PDFBibTeX XMLCite \textit{D. Li} and \textit{W. Wu}, Econom. Theory 34, No. 6, 1370--1382 (2018; Zbl 1406.62097) Full Text: DOI
Adusumilli, Karun; Otsu, Taisuke Nonparametric instrumental regression with errors in variables. (English) Zbl 1406.62032 Econom. Theory 34, No. 6, 1256-1280 (2018). MSC: 62G08 62G07 62G20 PDFBibTeX XMLCite \textit{K. Adusumilli} and \textit{T. Otsu}, Econom. Theory 34, No. 6, 1256--1280 (2018; Zbl 1406.62032) Full Text: DOI
Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, A. M. Robert Unit root inference for non-stationary linear processes driven by infinite variance innovations. (English) Zbl 1441.62229 Econom. Theory 34, No. 2, 302-348 (2018). MSC: 62M10 62E20 62G09 62P20 PDFBibTeX XMLCite \textit{G. Cavaliere} et al., Econom. Theory 34, No. 2, 302--348 (2018; Zbl 1441.62229) Full Text: DOI
Xiao, Zhijie Unit roots: a selective review of the contributions of Peter C. B. Phillips. (English) Zbl 1314.01032 Econom. Theory 30, No. 4, 775-814 (2014). MSC: 01A70 62M10 62M07 62-02 91-02 PDFBibTeX XMLCite \textit{Z. Xiao}, Econom. Theory 30, No. 4, 775--814 (2014; Zbl 1314.01032) Full Text: DOI
Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas; Koul, Hira L. Asymptotic normality for weighted sums of linear processes. (English) Zbl 1316.60030 Econom. Theory 30, No. 1, 252-284 (2014). Reviewer: Vygantas Paulauskas (Vilnius) MSC: 60F05 60G50 62M10 PDFBibTeX XMLCite \textit{K. M. Abadir} et al., Econom. Theory 30, No. 1, 252--284 (2014; Zbl 1316.60030) Full Text: DOI
Del Barrio Castro, Tomás; Osborn, Denise R.; Taylor, A. M. Robert On augmented HEGY tests for seasonal unit roots. (English) Zbl 1369.62212 Econom. Theory 28, No. 5, 1121-1143 (2012). MSC: 62M07 91B84 PDFBibTeX XMLCite \textit{T. Del Barrio Castro} et al., Econom. Theory 28, No. 5, 1121--1143 (2012; Zbl 1369.62212) Full Text: DOI
Jeong, Kiho; Härdle, Wolfgang K.; Song, Song A consistent nonparametric test for causality in quantile. (English) Zbl 1419.62102 Econom. Theory 28, No. 4, 861-887 (2012). MSC: 62G10 62G20 91B82 PDFBibTeX XMLCite \textit{K. Jeong} et al., Econom. Theory 28, No. 4, 861--887 (2012; Zbl 1419.62102) Full Text: DOI
Peligrad, Magda; Sang, Hailin Asymptotic properties of self-normalized linear processes with long memory. (English) Zbl 1263.62113 Econom. Theory 28, No. 3, 548-569 (2012). Reviewer: Tamas Szabados (Budapest) MSC: 62M10 62F03 60G22 60F05 PDFBibTeX XMLCite \textit{M. Peligrad} and \textit{H. Sang}, Econom. Theory 28, No. 3, 548--569 (2012; Zbl 1263.62113) Full Text: DOI arXiv
Onatski, Alexei; Uhlig, Harald Unit roots in white noise. (English) Zbl 1239.62108 Econom. Theory 28, No. 3, 485-508 (2012). MSC: 62M10 62G30 62E20 65C60 PDFBibTeX XMLCite \textit{A. Onatski} and \textit{H. Uhlig}, Econom. Theory 28, No. 3, 485--508 (2012; Zbl 1239.62108) Full Text: DOI
Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments. (English) Zbl 1442.62734 Econom. Theory 28, No. 1, 42-86 (2012). MSC: 62P20 62E20 62J05 62F12 PDFBibTeX XMLCite \textit{J. C. Chao} et al., Econom. Theory 28, No. 1, 42--86 (2012; Zbl 1442.62734) Full Text: DOI
Han, Chirok; Phillips, Peter C. B.; Sul, Donggyu Uniform asymptotic normality in stationary and unit root autoregression. (English) Zbl 1442.62200 Econom. Theory 27, No. 6, 1117-1151 (2011). MSC: 62M10 60F05 62E20 PDFBibTeX XMLCite \textit{C. Han} et al., Econom. Theory 27, No. 6, 1117--1151 (2011; Zbl 1442.62200) Full Text: DOI
Sayginsoy, Özgen; Vogelsang, Timothy J. Testing for a shift in trend at an unknown date: a fixed-\(b\) analysis of heteroskedasticity autocorrelation robust OLS-based tests. (English) Zbl 1227.62073 Econom. Theory 27, No. 5, 992-1025 (2011). MSC: 62M10 62G07 62G20 65C60 PDFBibTeX XMLCite \textit{Ö. Sayginsoy} and \textit{T. J. Vogelsang}, Econom. Theory 27, No. 5, 992--1025 (2011; Zbl 1227.62073) Full Text: DOI
Gregoir, Stéphane Fully modified estimation of seasonally cointegrated processes. (English) Zbl 1290.62074 Econom. Theory 26, No. 5, 1491-1528 (2010). MSC: 62M09 62G10 60F17 62P20 PDFBibTeX XMLCite \textit{S. Gregoir}, Econom. Theory 26, No. 5, 1491--1528 (2010; Zbl 1290.62074) Full Text: DOI
Fan, Yanqin; Gençay, Ramazan Unit root tests with wavelets. (English) Zbl 1197.62127 Econom. Theory 26, No. 5, 1305-1331 (2010). MSC: 62M10 42C40 65C05 62P20 PDFBibTeX XMLCite \textit{Y. Fan} and \textit{R. Gençay}, Econom. Theory 26, No. 5, 1305--1331 (2010; Zbl 1197.62127) Full Text: DOI
Ing, Ching-Kang; Sin, Chor-Yiu; Yu, Shu-Hui Prediction errors in nonstationary autoregressions of infinite order. (English) Zbl 1191.62159 Econom. Theory 26, No. 3, 774-803 (2010). MSC: 62M20 62M10 PDFBibTeX XMLCite \textit{C.-K. Ing} et al., Econom. Theory 26, No. 3, 774--803 (2010; Zbl 1191.62159) Full Text: DOI
Lee, Lung-Fei Pooling estimates with different rates of convergence: a minimum \(\chi ^{2}\) approach with emphasis on a social interactions model. (English) Zbl 1183.91153 Econom. Theory 26, No. 1, 260-299 (2010). MSC: 91D30 91D10 62P25 62F10 91B51 PDFBibTeX XMLCite \textit{L.-F. Lee}, Econom. Theory 26, No. 1, 260--299 (2010; Zbl 1183.91153) Full Text: DOI
Cavaliere, Giuseppe; Taylor, A. M. Robert Heteroskedastic time series with a unit root. (English) Zbl 1284.62546 Econom. Theory 25, No. 5, 1228-1276 (2009). MSC: 62M10 60F17 62F03 65C05 PDFBibTeX XMLCite \textit{G. Cavaliere} and \textit{A. M. R. Taylor}, Econom. Theory 25, No. 5, 1228--1276 (2009; Zbl 1284.62546) Full Text: DOI
Li, Guodong; Li, Wai Keung Least absolute deviation estimation for unit root processes with GARCH errors. (English) Zbl 1284.62565 Econom. Theory 25, No. 5, 1208-1227 (2009). MSC: 62M10 62F03 60F05 91B82 PDFBibTeX XMLCite \textit{G. Li} and \textit{W. K. Li}, Econom. Theory 25, No. 5, 1208--1227 (2009; Zbl 1284.62565) Full Text: DOI
Cavaliere, Giuseppe; Georgiev, Iliyan Robust inference in autoregressions with multiple outliers. (English) Zbl 1179.62111 Econom. Theory 25, No. 6, 1625-1661 (2009). MSC: 62M10 62F35 62F03 62P20 62F10 65C60 PDFBibTeX XMLCite \textit{G. Cavaliere} and \textit{I. Georgiev}, Econom. Theory 25, No. 6, 1625--1661 (2009; Zbl 1179.62111) Full Text: DOI
Nielsen, Morten Ørregaard A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic. (English) Zbl 1179.62127 Econom. Theory 25, No. 6, 1515-1544 (2009). MSC: 62M10 62E20 62G10 62G20 65C60 PDFBibTeX XMLCite \textit{M. Ø. Nielsen}, Econom. Theory 25, No. 6, 1515--1544 (2009; Zbl 1179.62127) Full Text: DOI
Chioda, Laura; Jansson, Michael Optimal invariant inference when the number of instruments is large. (English) Zbl 1253.62039 Econom. Theory 25, No. 3, 793-805 (2009). MSC: 62H12 62F12 62P20 PDFBibTeX XMLCite \textit{L. Chioda} and \textit{M. Jansson}, Econom. Theory 25, No. 3, 793--805 (2009; Zbl 1253.62039) Full Text: DOI
Smith, Richard J.; Taylor, A. M. Robert; del Barrio Castro, Tomas Regression-based seasonal unit root tests. (English) Zbl 1279.62174 Econom. Theory 25, No. 2, 527-560 (2009). MSC: 62M07 62J02 62M10 PDFBibTeX XMLCite \textit{R. J. Smith} et al., Econom. Theory 25, No. 2, 527--560 (2009; Zbl 1279.62174) Full Text: DOI
del Barrio Castro, Tomas; Osborn, Denise R. Testing for seasonal unit roots in periodic integrated autoregressive processes. (English) Zbl 1284.62533 Econom. Theory 24, No. 4, 1093-1129 (2008). MSC: 62M07 62M10 65C05 PDFBibTeX XMLCite \textit{T. del Barrio Castro} and \textit{D. R. Osborn}, Econom. Theory 24, No. 4, 1093--1129 (2008; Zbl 1284.62533) Full Text: DOI
Demetrescu, Matei; Kuzin, Vladimir; Hassler, Uwe Long memory testing in the time domain. (English) Zbl 1280.62024 Econom. Theory 24, No. 1, 176-215 (2008). MSC: 62F03 62J20 62M10 62P20 PDFBibTeX XMLCite \textit{M. Demetrescu} et al., Econom. Theory 24, No. 1, 176--215 (2008; Zbl 1280.62024) Full Text: DOI
Ploberger, Werner Admissible and nonadmissible tests in unit-root-like situations. (English) Zbl 1280.62025 Econom. Theory 24, No. 1, 15-42 (2008). MSC: 62F05 62M07 62P20 PDFBibTeX XMLCite \textit{W. Ploberger}, Econom. Theory 24, No. 1, 15--42 (2008; Zbl 1280.62025) Full Text: DOI
Bao, Yong Finite-sample properties of forecasts from the stationary first-order autoregressive model under a general error distribution. (English) Zbl 1237.62128 Econom. Theory 23, No. 4, 767-773 (2007). MSC: 62M20 62M10 62F35 60G10 PDFBibTeX XMLCite \textit{Y. Bao}, Econom. Theory 23, No. 4, 767--773 (2007; Zbl 1237.62128) Full Text: DOI
Aue, Alexander; Horváth, Lajos A limit theorem for mildly explosive autoregression with stable errors. (English) Zbl 1237.62108 Econom. Theory 23, No. 2, 201-220 (2007). MSC: 62M10 60F05 62H20 PDFBibTeX XMLCite \textit{A. Aue} and \textit{L. Horváth}, Econom. Theory 23, No. 2, 201--220 (2007; Zbl 1237.62108) Full Text: DOI
Baltagi, Badi H. Random effects and spatial autocorrelation with equal weights. (English) Zbl 1125.62094 Econom. Theory 22, No. 5, 973-984 (2006). MSC: 62M10 62H12 62M30 PDFBibTeX XMLCite \textit{B. H. Baltagi}, Econom. Theory 22, No. 5, 973--984 (2006; Zbl 1125.62094) Full Text: DOI
Wu, Wei Biao Unit root testing for functionals of linear processes. (English) Zbl 1083.62098 Econom. Theory 22, No. 1, 1-14 (2006). MSC: 62M10 60F17 62P20 62E20 PDFBibTeX XMLCite \textit{W. B. Wu}, Econom. Theory 22, No. 1, 1--14 (2006; Zbl 1083.62098) Full Text: DOI
Granger, Clive W. J.; Hendry, David F. A dialogue concerning a new instrument for econometric modeling. (English) Zbl 1161.62453 Econom. Theory 21, No. 1, 278-297 (2005). MSC: 62P20 62J05 PDFBibTeX XMLCite \textit{C. W. J. Granger} and \textit{D. F. Hendry}, Econom. Theory 21, No. 1, 278--297 (2005; Zbl 1161.62453) Full Text: DOI
Nielsen, Bent Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms. (English) Zbl 1085.62105 Econom. Theory 21, No. 3, 534-561 (2005). MSC: 62M10 62F12 PDFBibTeX XMLCite \textit{B. Nielsen}, Econom. Theory 21, No. 3, 534--561 (2005; Zbl 1085.62105) Full Text: DOI
Rodrigues, Paulo M. M.; Taylor, A. M. Robert Asymptotic distributions for regression-based seasonal unit root test statistic in a near-integrated model. (English) Zbl 1081.62068 Econom. Theory 20, No. 4, 645-670 (2004). MSC: 62M10 62P20 62E20 65C05 91B84 PDFBibTeX XMLCite \textit{P. M. M. Rodrigues} and \textit{A. M. R. Taylor}, Econom. Theory 20, No. 4, 645--670 (2004; Zbl 1081.62068) Full Text: DOI
Inoue, Atsushi; Kilian, Lutz The continuity of the limit distribution in the parameter of interest is not essential for the validity of the bootstrap. (English) Zbl 1441.62748 Econom. Theory 19, No. 6, 944-961 (2003). MSC: 62P20 62M10 62G09 62E20 PDFBibTeX XMLCite \textit{A. Inoue} and \textit{L. Kilian}, Econom. Theory 19, No. 6, 944--961 (2003; Zbl 1441.62748) Full Text: DOI
Pere, Pekka AR(1) models, unit roots, and adjusted profile likelihood. (English) Zbl 1441.62835 Econom. Theory 19, No. 6, 885-922 (2003). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{P. Pere}, Econom. Theory 19, No. 6, 885--922 (2003; Zbl 1441.62835) Full Text: DOI
Maynard, Alex Book review of: J. Davidson, Econometric theory. (English) Zbl 1435.00032 Econom. Theory 19, No. 4, 665-674 (2003). MSC: 00A17 62-02 62P20 PDFBibTeX XMLCite \textit{A. Maynard}, Econom. Theory 19, No. 4, 665--674 (2003; Zbl 1435.00032) Full Text: DOI
Kim, Jae-Young Inference on segmented cointegration. (English) Zbl 1441.62773 Econom. Theory 19, No. 4, 620-639 (2003). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{J.-Y. Kim}, Econom. Theory 19, No. 4, 620--639 (2003; Zbl 1441.62773) Full Text: DOI
Taylor, A. M. Robert On the asymptotic properties of some seasonal unit root tests. (English) Zbl 1441.62885 Econom. Theory 19, No. 2, 311-321 (2003). MSC: 62P20 62M10 62E20 PDFBibTeX XMLCite \textit{A. M. R. Taylor}, Econom. Theory 19, No. 2, 311--321 (2003; Zbl 1441.62885) Full Text: DOI
Ing, Ching-Kang Multistep prediction in autoregressive processes. (English) Zbl 1441.62747 Econom. Theory 19, No. 2, 254-279 (2003). MSC: 62P20 62M10 62M20 PDFBibTeX XMLCite \textit{C.-K. Ing}, Econom. Theory 19, No. 2, 254--279 (2003; Zbl 1441.62747) Full Text: DOI