Journal ArticleDOI
Convergence of Probability Measures
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Convergence of Probability Measures as mentioned in this paper is a well-known convergence of probability measures. But it does not consider the relationship between probability measures and the probability distribution of probabilities.Abstract:
Convergence of Probability Measures. By P. Billingsley. Chichester, Sussex, Wiley, 1968. xii, 253 p. 9 1/4“. 117s.read more
Citations
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Journal ArticleDOI
Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
Journal ArticleDOI
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
TL;DR: In this paper, the authors consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is "trend-stationary" and show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit-root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time break.
Journal ArticleDOI
Tests for Parameter Instability and Structural Change with Unknown Change Point.
TL;DR: In this article, the authors considered tests for parameter instability and structural change with unknown change point, and the results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures.
Journal ArticleDOI
Detection of abrupt changes: theory and application
TL;DR: A unified framework for the design and the performance analysis of the algorithms for solving change detection problems and links with the analytical redundancy approach to fault detection in linear systems are established.
Journal ArticleDOI
Cox's Regression Model for Counting Processes: A Large Sample Study
TL;DR: In this article, the Cox regression model for censored survival data is extended to a model where covariate processes have a proportional effect on the intensity process of a multivariate counting process, allowing for complicated censoring patterns and time dependent covariates.
References
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Journal ArticleDOI
Tests for Parameter Instability and Structural Change with Unknown Change Point.
TL;DR: In this article, the authors considered tests for parameter instability and structural change with unknown change point, and the results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures.
Journal ArticleDOI
Detection of abrupt changes: theory and application
TL;DR: A unified framework for the design and the performance analysis of the algorithms for solving change detection problems and links with the analytical redundancy approach to fault detection in linear systems are established.
Journal ArticleDOI
Cox's Regression Model for Counting Processes: A Large Sample Study
TL;DR: In this article, the Cox regression model for censored survival data is extended to a model where covariate processes have a proportional effect on the intensity process of a multivariate counting process, allowing for complicated censoring patterns and time dependent covariates.
Book ChapterDOI
Chapter 36 Large sample estimation and hypothesis testing
Whitney K. Newey,Daniel McFadden +1 more
TL;DR: In this paper, conditions for obtaining cosistency and asymptotic normality of a very general class of estimators (extremum estimators) are given to enable approximation of the SDF.
Journal ArticleDOI
Time series regression with a unit root
TL;DR: In this paper, it is shown that simple least squares regression consistently estimates a unit root under very general conditions in spite of the presence of autocorrelated errors. But, the results of this paper are restricted to the unit root case.