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Citations for "Local asymptotic distribution related to the AR(1) model with dependent errors"

by Nabeya, Seiji & Perron, Pierre

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  1. Ng, Serena & Perron, Pierre, 1997. "Estimation and inference in nearly unbalanced nearly cointegrated systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 53-81, July.
  2. Serena Ng & Pierre Perron, 2001. "PPP May not Hold After all: A Further Investigation," Economics Working Paper Archive 466, The Johns Hopkins University,Department of Economics.
  3. PERRON, Pierre & MALLET, Sylvie, 1998. "The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation," Cahiers de recherche 9817, Universite de Montreal, Departement de sciences economiques.
  4. Marco Morales, 2014. "Cointegration testing under structural change: reducing size distortions and improving power of residual based tests," Statistical Methods and Applications, Springer, vol. 23(2), pages 265-282, June.
  5. Tomás del Barrio Castro & Paulo M.M. Rodrigues & A.M. Robert Taylor, 2013. "On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles," CEFAGE-UE Working Papers 2013_11, University of Evora, CEFAGE-UE (Portugal).
  6. Niels Haldrup & Peter Lildholdt, . "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers 2000-1, School of Economics and Management, University of Aarhus.
  7. Perron, P., 1994. "The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors," Cahiers de recherche 9424, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  8. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  9. Niels Haldrup & Peter Lildholdt, . "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers 2000-2, School of Economics and Management, University of Aarhus.
  10. Perron, Pierre & Mallet, Sylvie, 2000. "A look at the quality of the approximation of the functional central limit theorem," Economics Letters, Elsevier, vol. 68(3), pages 225-234, September.
  11. Powell, John G. & Shi, Jing & Smith, Tom & Whaley, Robert E., 2009. "Political regimes, business cycles, seasonalities, and returns," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1112-1128, June.
  12. Patrick Marsh, . "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
  13. Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
  14. Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series WP2006-011, Boston University - Department of Economics.
  15. Ai Deng Author-X-Name-First: Ai, 2006. "Local Power of Andrews and Ploberger Tests Against Nearly Integrated, Nearly White Noise Process," Boston University - Department of Economics - Working Papers Series WP2006-027, Boston University - Department of Economics.
  16. María Presno & Anna López, 2003. "Testing for stationarity in series with a shift in the mean. A fredholm approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 12(1), pages 195-213, June.
  17. Nunzio Cappuccio & Diego Lubian, 2007. "Asymptotic Null Distributions of Stationarity and Nonstationarity Tests Under Local-to-finite Variance Errors," Annals of the Institute of Statistical Mathematics, Springer, vol. 59(3), pages 403-423, September.
  18. Deng, Ai, 2010. "Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process," Economics Letters, Elsevier, vol. 107(1), pages 22-25, April.
  19. Nunzio Cappuccio & Diego Lubian, 2003. "Asymptotic null distributions of stationarity and nonstationarity," Working Papers 8, University of Verona, Department of Economics.
  20. Anton Skrobotov, 2013. "Double Unit Roots Testing, GLS-detrending and Uncertainty over the Initial Conditions," Working Papers 0083, Gaidar Institute for Economic Policy, revised 2013.