An outlier robust unit root test with an application to the extended Nelson-Plosser data
- 30 April 1995
- journal article
- research article
- Published by Elsevier in Journal of Econometrics
- Vol. 66 (1-2) , 153-173
- https://doi.org/10.1016/0304-4076(94)01613-5
Abstract
No abstract availableKeywords
This publication has 25 references indexed in Scilit:
- On One-Step GM Estimates and Stability of Inferences in Linear RegressionJournal of the American Statistical Association, 1992
- RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING‐AVERAGE MODELSJournal of Time Series Analysis, 1992
- On Bayesian routes to unit rootsJournal of Applied Econometrics, 1991
- Limit Theory for M-Estimates in an Integrated Infinite VarianceEconometric Theory, 1991
- Limit theory for autoregressive‐parameter estimates in an infinite‐variance random walkThe Canadian Journal of Statistics / La Revue Canadienne de Statistique, 1989
- High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient ScaleJournal of the American Statistical Association, 1988
- High Breakdown-Point and High Efficiency Robust Estimates for RegressionThe Annals of Statistics, 1987
- Robust Estimates for ARMA ModelsJournal of the American Statistical Association, 1986
- Least Median of Squares RegressionJournal of the American Statistical Association, 1984
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for HeteroskedasticityEconometrica, 1980