The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending
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- Marcus J. Chambers, 2015. "The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 562-586, July.
References listed on IDEAS
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Cited by:
- Chambers, MJ, 2016. "The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests," Economics Discussion Papers 16062, University of Essex, Department of Economics.
- Neil Kellard & Denise Osborn & Jerry Coakley & Marcus J. Chambers, 2015. "Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 630-649, September.
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Keywords
GLS detrending; near-integrated model; moment generating function; characteristic function.;All these keywords.
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