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Lag length selection and the construction of unit root tests with good size and power
 Econometrica
, 2001
"... It is widely known that when there are errors with a movingaverage root close to −1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the AIC and the BIC tend to select a truncation lag (k) that is very small. We conside ..."
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Cited by 558 (14 self)
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consider a class of Modified Information Criteria (MIC) with a penalty factor that is sample dependent. It takes into account the fact that the bias in the sum of the autoregressive coefficients is highly dependent on k and adapts to the type of deterministic components present. We use a local asymptotic
VIBRATIONBASED DAMAGE DETECTION IN A WIND TURBINE BLADE BASED ON AUTOREGRESSIVE COEFFICIENTS
"... Wind energy is at the forefront of renewable energy harvesting. Thus, the increasing interest in renewable energy in the European Union [1] leads to growing sizes of wind turbines (WTs) and erections in remote areas, such as offshore. The application of structural health monitoring in structural com ..."
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arrays. This paper presents a vibrationbased SDD method applied to a numerical WT blade (WTB) model with a shearweb disbonding damage scenario. The damage sensitive feature (DSF) is developed as the Mahalanobis distance between a baseline and a current vector of autoregressive coefficients (ARCs
Testing for Common Trends
 Journal of the American Statistical Association
, 1988
"... Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) in a multiple time series with and without drift. Both tests involve the roots of the ordinary least squares coefficient matrix ..."
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Cited by 464 (7 self)
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Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) in a multiple time series with and without drift. Both tests involve the roots of the ordinary least squares coefficient
The ChiSquare Approximation of the Restricted Likelihood Ratio Test for the Sum of Autoregressive Coefficients with Interval Estimation
, 2007
"... intercept/trend possesses enormous advantages, such as yielding estimates with significantly reduced bias, powerful unit root tests, small curvature, a wellbehaved likelihood ratio test (RLRT) near the unit root and confidence intervals with good coverage. Here we consider the RLRT for the sum of t ..."
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of the coefficients in AR(p) processes with intercept/trend. We show that the limit of the leading error term in the chisquare approximation to the RLRT distribution is finite as the unit root is approached, implying a uniformly good approximation over the entire parameter space and wellbehaved interval inference
Robust confidence intervals for autoregressive coefficients near one. Forthcoming in A Festscrift in Honor of Thomas Rothenberg
, 2004
"... near one ..."
Algorithm 1 BoostiGraph Algorithm: estimate autoregression coefficient from data Y
, 2009
"... 1. We can write up the BoostiGraph algorithm [1] as Assume that Y is an n × p matrix, i.e. we have n obser ..."
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1. We can write up the BoostiGraph algorithm [1] as Assume that Y is an n × p matrix, i.e. we have n obser
Time varying structural vector autoregressions and monetary policy
 REVIEW OF ECONOMIC STUDIES
, 2005
"... Monetary policy and the private sector behavior of the US economy are modeled as a time varying structural vector autoregression, where the sources of time variation are both the coefficients and the variance covariance matrix of the innovations. The paper develops a new, simple modeling strategy f ..."
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Cited by 306 (8 self)
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Monetary policy and the private sector behavior of the US economy are modeled as a time varying structural vector autoregression, where the sources of time variation are both the coefficients and the variance covariance matrix of the innovations. The paper develops a new, simple modeling strategy
Inference in Linear Time Series Models with Some Unit Roots,”
 Econometrica
, 1990
"... This paper considers estimation and hypothesis testing in linear time series models when some or all of the variables have unit roots. Our motivating example is a vector autoregression with some unit roots in the companion matrix, which might include polynomials in time as regressors. In the genera ..."
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Cited by 390 (14 self)
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This paper considers estimation and hypothesis testing in linear time series models when some or all of the variables have unit roots. Our motivating example is a vector autoregression with some unit roots in the companion matrix, which might include polynomials in time as regressors
Results 1  10
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35,032