The empirical process of autoregressive residuals
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
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 12 (2009)
Issue (Month): 2 (07)
|Contact details of provider:|| Postal: |
Phone: +44 1334 462479
Web page: http://www.res.org.uk/
More information through EDIRC
|Order Information:||Web: http://www.ectj.org|
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.:
- Nielsen, B., 1995.
"Bartlett Correction of the Unit Root test in Autoregressive Models,"
98, Economics Group, Nuffield College, University of Oxford.
- Bent Nielsen, 1995. "Bartlett correction of the unit root test in autoregressive models," Economics Papers 11 & 98., Economics Group, Nuffield College, University of Oxford.
- Bent Nielsen, 2001.
"Order determination in general vector autoregressions,"
Economics Series Working Papers
2001-W10, University of Oxford, Department of Economics.
- Bent Nielsen, 2001. "Order determination in general vector autoregressions," Economics Papers 2001-W10, Economics Group, Nuffield College, University of Oxford.
- 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.
- Bent Nielsen, 2003. "Correlograms for non-stationary autoregressions," Economics Series Working Papers 2003-W11, University of Oxford, Department of Economics.
- Bent Nielsen, 2003. "Correlograms for non-stationary autoregressions," Economics Papers 2003-W11, Economics Group, Nuffield College, University of Oxford.
- 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.
- Johansen, S., 1999.
"A Bartlett Correction Factor for Tests on the Cointegrating Relations,"
Economics Working Papers
eco99/10, European University Institute.
- Johansen, S ren, 2000. "A Bartlett Correction Factor For Tests On The Cointegrating Relations," Econometric Theory, Cambridge University Press, vol. 16(05), pages 740-778, October.
When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:12:y:2009:i:2:p:367-381. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.