- Volume 5 Issue 1
Recent work by Shin and Sarkar (1996) examines model misspecification problems for nonstationary time series. Shin and Sarkar introduce a general regression model with integrated errors and one system of integrated regressors and discuss the limiting distributions of the OLS estimators and the usual OLS statistics such as
- Journal of Econometrics v.2 Spurious regression in econometrics Granger, C. W. J.;Newbold, P.
- The Annals of Probability v.12 A functional central limit theorem for weakly dependent sequences of random variables Herrndorf, N.
- Ph. D. dissertation. Department of Statistics Testing for a unit root in an AR(p) signal observed with MA(q) noise and model misspecification Jeong, D. B.
- The Annals of Statistics v.20 Asymptotics for linear processes Phillips, P. C. B.;Solo, V.
- Technical report #130, Dept. of Statistics Model misspecification problem for nonstationary time series Shin, D. W.;Sarkar, S.