Meaningful Multicollinearity Measures KEY WORDS Regression Effective sample size Extrapolation Interpolation Predictability 1. INTRODUCTION In a recent paper, Hocking [8] discussed methods for variable selection in linear regression models...

A Simulation Study of Effects of Multicollinearity and Autocorrelation on Estimates of Parameters I. INTRODUCTIOPJ In attempting t o analytically discover or t e s t economic relationships, econometricians have 'vailable many computational...

A Predictive Approach to Model Selection and Multicollinearity SUMMARY We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covaria...

Unit Root Tests Based on Adaptive Maximum Likelihood Estimation Adaptive maximum likelihood estimators of unit roots in autoregressive processes with possibly non-Gaussian innovations are considered. Unit root tests based on the adaptive e...

Time Series Regression with a Unit Root This paper studies the random walk, in a general time series setting that allows for weakly dependent and heterogeneously distributed innovations. It is shown that simple least squares regression con...

Threshold Autoregression with a Unit Root This paper develops an asymptotic theory of inference for an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. We find that the asymptotic null distribu...

The Fractional Unit Root Distribution Asymptotic distributions are derived for the ordinary least squares (OLS) estimate of a first order autoregression when the series is fractionally integrated of order 1+ d, for -1/2 d 1/2. The fraction...

Testing for a Moving Average Unit Root Testing for a unit root in the moving average model is discussed. First, for the stationary MA(1) model, we suggest a score type test which is locally best invariant and unbiased. Performance of the t...

Efficient Tests for an Autoregressive Unit Root The asymptotic power envelope is derived for point-optimal tests of a unit root in the autoregressive representation of a Gaussian time series under various trend specifications. We propose a...

Bootstrap Unit Root Tests We consider the bootstrap unit root tests based on finite order autoregressive integrated models driven by iid innovations, with or without deterministic time trends. A general methodology is developed to approxim...