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The empirical process of autoregressive residuals

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  • E ric E ngler
  • B ent N ielsen

Abstract

Asymptotic theory is developed for the residual empirical process of autoregressive distributed lag models with an intercept and possibly other deterministic terms. The asymptotic distribution is shown not to depend on the location of characteristic roots. This contrasts to situations without intercept where unit roots give rise to non-standard distributions. This is important in applications, as the question of the innovation distribution can be addressed without knowledge of the characteristic roots. Copyright � 2009 The Author(s). Journal compilation � Royal Economic Society 2009

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Bibliographic Info

Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 12 (2009)
Issue (Month): 2 (07)
Pages: 367-381

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Handle: RePEc:ect:emjrnl:v:12:y:2009:i:2:p:367-381

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References

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  1. Bent Nielsen, 2006. "Correlograms for non-stationary autoregressions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(4), pages 707-720.
  2. Johansen, S., 1999. "A Bartlett Correction Factor for Tests on the Cointegrating Relations," Economics Working Papers eco99/10, European University Institute.
  3. Bent Nielsen, 2001. "Order determination in general vector autoregressions," Economics Papers 2001-W10, Economics Group, Nuffield College, University of Oxford.
  4. Kilian, Lutz & Demiroglu, Ufuk, 2000. "Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 40-50, January.
  5. Nielsen, B., 1995. "Bartlett Correction of the Unit Root test in Autoregressive Models," Economics Papers 98, Economics Group, Nuffield College, University of Oxford.
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Cited by:
  1. Søren Johansen & Bent Nielsen, 2010. "Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli," Discussion Papers 10-06, University of Copenhagen. Department of Economics.
  2. Bent Nielsen & Søren Johansen, 2013. "Asymptotic analysis of the Forward Search," Economics Papers 2013-W02, Economics Group, Nuffield College, University of Oxford.
  3. Bent Nielsen & Andrew Whitby, 2012. "A Joint Chow Test for Structural Instability," Economics Series Working Papers 2012-W07, University of Oxford, Department of Economics.
  4. Mladenovic, Zorica & Petrovic, Pavle, 2010. "Cagan's paradox and money demand in hyperinflation: Revisited at daily frequency," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1369-1384, November.
  5. Cizek, P., 2010. "Reweighted Least Trimmed Squares: An Alternative to One-Step Estimators," Discussion Paper 2010-91, Tilburg University, Center for Economic Research.
  6. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics Discussion Papers 2008-9, Kiel Institute for the World Economy.
  7. Giuseppe Cavaliere & Iliyan Georgiev, 2013. "Exploiting infinite variance through Dummy Variables in non-stationary autoregressions," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
  8. Zorica Mladenovic & Bent Nielsen, 2009. "The role of income in money demand during hyper-inflation: the case of Yugoslavia," Economics Papers 2009-W02, Economics Group, Nuffield College, University of Oxford.
  9. B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
  10. Cízek, Pavel, 2011. "Semiparametrically weighted robust estimation of regression models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 774-788, January.

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