15 results
A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS
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- Journal:
- Econometric Theory / Volume 37 / Issue 1 / February 2021
- Published online by Cambridge University Press:
- 20 March 2020, pp. 1-48
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DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
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- Journal:
- Econometric Theory / Volume 34 / Issue 2 / April 2018
- Published online by Cambridge University Press:
- 20 September 2016, pp. 349-382
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UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
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- Journal:
- Econometric Theory / Volume 34 / Issue 2 / April 2018
- Published online by Cambridge University Press:
- 03 May 2016, pp. 302-348
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EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS
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- Journal:
- Econometric Theory / Volume 29 / Issue 6 / December 2013
- Published online by Cambridge University Press:
- 13 August 2013, pp. 1162-1195
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TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
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- Journal:
- Econometric Theory / Volume 27 / Issue 5 / October 2011
- Published online by Cambridge University Press:
- 25 March 2011, pp. 957-991
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COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
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- Journal:
- Econometric Theory / Volume 26 / Issue 6 / December 2010
- Published online by Cambridge University Press:
- 22 March 2010, pp. 1719-1760
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ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS
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- Journal:
- Econometric Theory / Volume 25 / Issue 6 / December 2009
- Published online by Cambridge University Press:
- 01 December 2009, pp. 1625-1661
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HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
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- Journal:
- Econometric Theory / Volume 25 / Issue 5 / October 2009
- Published online by Cambridge University Press:
- 01 October 2009, pp. 1228-1276
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REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS
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- Journal:
- Econometric Theory / Volume 24 / Issue 4 / August 2008
- Published online by Cambridge University Press:
- 22 April 2008, pp. 1137-1148
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TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
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- Journal:
- Econometric Theory / Volume 23 / Issue 6 / December 2007
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- 06 September 2007, pp. 1162-1215
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BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
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- Journal:
- Econometric Theory / Volume 24 / Issue 1 / February 2008
- Published online by Cambridge University Press:
- 06 September 2007, pp. 43-71
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STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
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- Journal:
- Econometric Theory / Volume 21 / Issue 6 / December 2005
- Published online by Cambridge University Press:
- 23 September 2005, pp. 1112-1129
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LIMITED TIME SERIES WITH A UNIT ROOT
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- Journal:
- Econometric Theory / Volume 21 / Issue 5 / October 2005
- Published online by Cambridge University Press:
- 22 August 2005, pp. 907-945
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03.3.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint—Solution
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- Journal:
- Econometric Theory / Volume 20 / Issue 4 / August 2004
- Published online by Cambridge University Press:
- 01 August 2004, pp. 808-810
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03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint
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- Journal:
- Econometric Theory / Volume 19 / Issue 4 / August 2003
- Published online by Cambridge University Press:
- 01 August 2003, pp. 691-692
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