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Saddlepoint Approximations in Non-Stationary Time Series

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  • Patrick Marsh

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  • Patrick Marsh, "undated". "Saddlepoint Approximations in Non-Stationary Time Series," Discussion Papers 00/57, Department of Economics, University of York.
    • Handle: RePEc:yor:yorken:00/57
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    File URL: https://www.york.ac.uk/media/economics/documents/discussionpapers/2000/0057.pdf
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    References listed on IDEAS

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    1. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    2. Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
    3. Phillips, Peter C B, 1977. "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica, Econometric Society, vol. 45(2), pages 463-485, March.
    4. Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, vol. 52(5), pages 1241-1269, September.
    5. Nalini Ravishanker & Edward L. Melnick & Chih‐Ling Tsai, 1990. "Differential Geometry Of Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(3), pages 259-274, May.
    6. Rolf Larsson, 1998. "Distribution approximation of unit root tests in autoregressive models," Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages 10-26.
    7. Marsh, Patrick W.N., 1998. "Saddlepoint Approximations For Noncentral Quadratic Forms," Econometric Theory, Cambridge University Press, vol. 14(5), pages 539-559, October.
    8. Marsh, P., 1995. "Saddlepoint approximations and non-central quadratic forms," Discussion Paper Series In Economics And Econometrics 9530, Economics Division, School of Social Sciences, University of Southampton.
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