Time Series Regression with a Unit Root
This paper studies the random walk, in a general time series setting that allows for weakly dependent and heterogeneously distributed innovations. It is shown that simple least ...
Publications
3 shownMultiple Time Series Regression with Integrated Processes
This paper develops a general asymptotic theory of regression for processes which are integrated of order one. The theory includes vector autoregressions and multivariate regres...
Asymptotic Properties of Residual Based Tests for Cointegration
This paper develops an asymptotic theory for residual based tests for cointegration. Attention is given to the augmented Dickey-Fuller (ADF) test and the Z(subscript alpha) and ...
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Researcher Info
- h-index
- 3
- Publications
- 3
- Citations
- 5,679
External Links
Impact Metrics
h-index
3
h-index: Number of publications with at least h citations each.