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Markovian Progresses, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes

Listed author(s):
  • Dufour, J.M.
  • Torres, O.

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: 2000
Handle: RePEc:mtl:montec:2000-12
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  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Dufour, Jean-Marie, 1990. "Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors," Econometrica, Econometric Society, vol. 58(2), pages 475-494, March.
  8. 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.
  9. 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.
  10. 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 335-355, March.
  11. 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.
  12. Nankervis, John C & Savin, N E, 1996. "The Level and Power of the Bootstrap t Test in the AR(1) Model with Trend," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 161-168, April.
  13. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
  14. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Universite de Montreal, Departement de sciences economiques.
  15. Marc Hallin & Jean-Marie Dufour & Ivan Mizera, 1998. "Generalized run tests for heteroscedastic time series," ULB Institutional Repository 2013/2077, ULB -- Universite Libre de Bruxelles.
  16. 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.
  17. Maasoumi, Esfandiar, 1992. "Fellow's opinion : Rules of thumb and pseudo-science," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 1-4.
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