Journal ArticleDOI
Martingale Limit Theory and its Application
R. M. Loynes,Peter Hall,C. C. Heyde +2 more
- Vol. 147, Iss: 3, pp 520-521
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The article was published on 1984-05-01. It has received 3046 citations till now. The article focuses on the topics: Martingale central limit theorem & Martingale (probability theory).read more
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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.
Book
Probability: Theory and Examples
TL;DR: In this paper, a comprehensive introduction to probability theory covering laws of large numbers, central limit theorem, random walks, martingales, Markov chains, ergodic theorems, and Brownian motion is presented.
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.
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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
TL;DR: Using these results, data-dependent automatic bandwidth/lag truncation parameters are introduced and asymptotically optimal kernel/weighting scheme and bandwidth/agreement parameters are obtained.
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.