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Markovian Progresses, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes Author info | Abstract | Publisher info | Download info | Related research | Statistics Dufour, J.M.
Torres, O.
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In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models.
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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number
2000-12.
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Length: 34 pages
Date of creation: 2000Date of revision:
Handle: RePEc:mtl:montec:2000-12Contact details of provider: Postal: C.P. 6128, Succ. centre-ville, Montr�al (PQ) H3C 3J7 Phone: (514) 343-6557 Fax: (514) 343-5831 Email: Web page: http://www.cireq.umontreal.ca More information through EDIRC
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Keywords: TIME SERIES ; ECONOMIC MODELS ; TESTS ; SAMPLING ; Other versions of this item:
Article Paper DUFOUR, Jean-Marie & TORRÈS, Olivier, 2000.
"Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes ,"
Cahiers de recherche
2000-12, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Jean-Marie Dufour & Olivier Torrès, 2000.
"Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes ,"
CIRANO Working Papers
2000s-17, CIRANO.
[Downloadable!] Find related papers by JEL classification: C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
Dufour, Jean-Marie & Kiviet, Jan F., 1996.
"Exact tests for structural change in first-order dynamic models ,"
Journal of Econometrics ,
Elsevier, vol. 70(1), pages 39-68, January.
[Downloadable!] (restricted)
Kiviet, Jan F. & Dufour, Jean-Marie, 1997.
"Exact tests in single equation autoregressive distributed lag models ,"
Journal of Econometrics ,
Elsevier, vol. 80(2), pages 325-353, October.
[Downloadable!] (restricted)
Other versions:
Dufour, J.M. & Kiviet, J.F., 1995.
"Exact Tests in Single Equation Autoregressive Distributed Lag Models ,"
Cahiers de recherche
9549, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Dufour, J.M. & Kiviet, J.F., 1995.
"Exact Tests in Single Equation Autoregressive Distributed Lag Models ,"
Cahiers de recherche
9549, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Savin, N.E., 1984.
"Multiple hypothesis testing ,"
Handbook of Econometrics ,
in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 14, pages 827-879
Elsevier.
[Downloadable!] (restricted)
N.E. Savin & Allan Wurtz, 1996.
"The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models ,"
Econometrics
9606002, EconWPA.
[Downloadable!]
Other versions: Craig Burnside & Martin Eichenbaum, 1994.
"Small Sample Properties of Generalized Method of Moments Based Wald Tests ,"
NBER Technical Working Papers
0155, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Dufour, Jean-Marie, 1989.
"Nonlinear Hypotheses, Inequality Restrictions, and Non-nested Hypotheses: Exact Simultaneous Tests in Linear Regressions ,"
Econometrica ,
Econometric Society, vol. 57(2), pages 335-55, March.
[Downloadable!] (restricted)
Burnside, Craig & Eichenbaum, Martin S, 1996.
"Small-Sample Properties of GMM-Based Wald Tests ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 14(3), pages 294-308, July.
Miyazaki, Shigetaka & Griffiths, William E., 1984.
"The properties of some covariance matrix estimators in linear models with AR(1) errors ,"
Economics Letters ,
Elsevier, vol. 14(4), pages 351-356.
[Downloadable!] (restricted)
DeJong, David N. & Nankervis, John C. & Savin, N. E. & Whiteman, Charles H., 1992.
"The power problems of unit root test in time series with autoregressive errors ,"
Journal of Econometrics ,
Elsevier, vol. 53(1-3), pages 323-343.
[Downloadable!] (restricted)
Park, Rolla Edward & Mitchell, Bridger M., 1980.
"Estimating the autocorrelated error model with trended data ,"
Journal of Econometrics ,
Elsevier, vol. 13(2), pages 185-201, June.
[Downloadable!] (restricted)
Maasoumi, Esfandiar, 1992.
"Fellow's opinion : Rules of thumb and pseudo-science ,"
Journal of Econometrics ,
Elsevier, vol. 53(1-3), pages 1-4.
[Downloadable!] (restricted)
Campbell, Bryan & Dufour, Jean-Marie, 1997.
"Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(1), pages 151-73, February.
Other versions:
Campbell, B. & Dufour, J.M., 1994.
"Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter ,"
Cahiers de recherche
9407, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Campbell, B. & Dufour, J.M., 1994.
"Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter ,"
Cahiers de recherche
9407, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Jean-Marie Dufour & Abdeljelil Farhat, 2001.
"Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions ,"
CIRANO Working Papers
2001s-56, CIRANO.
[Downloadable!]
Other versions:
DUFOUR, Jean-Marie & FARHAT, Abdeljelil, 2001.
"Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions ,"
Cahiers de recherche
2001-23, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Dufour, J.M. & Farhat, A., 2001.
"Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions ,"
Cahiers de recherche
2001-23, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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