The Durbin-Watson Ratio Under Infinite Variance Errors
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- Phillips, Peter C. B. & Loretan, Mico, 1991. "The Durbin-Watson ratio under infinite-variance errors," Journal of Econometrics, Elsevier, vol. 47(1), pages 85-114, January.
References listed on IDEAS
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- Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
- Kurz-Kim, Jeong-Ryeol & Loretan, Mico, 2014. "On the properties of the coefficient of determination in regression models with infinite variance variables," Journal of Econometrics, Elsevier, vol. 181(1), pages 15-24.
- Runde, Ralf & Scheffner, Axel, 1998. "On the existence of moments: With an application to German stock returns," Technical Reports 1998,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Trapani, Lorenzo, 2016. "Testing for (in)finite moments," Journal of Econometrics, Elsevier, vol. 191(1), pages 57-68.
- Huston McCulloch, J. & Panton, Don B., 1997. "Precise tabulation of the maximally-skewed stable distributions and densities," Computational Statistics & Data Analysis, Elsevier, vol. 23(3), pages 307-320, January.
- Mikael Linden, 1992. "Stochastic and deterministic trends in Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 110-116, Autumn.
More about this item
KeywordsDurbin-Watson ratio; von Neumann ratio; serial correlation; dynamic models; time series; asymptotic theory;
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