MARC details
| 000 -LEADER |
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| fixed length control field |
01740nam a22002537a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240320080734.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240320b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
02664666 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 ## - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Cavaliere, Giuseppe |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
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| Title |
Exploiting infinite variance through dummy variables in nonstationary autoregressions |
| Statement of responsibility, etc. |
created by Giuseppe Cavaliere and Iliyan Georgiev |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
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| Place of production, publication, distribution, manufacture |
Cambridge: |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2013. |
| 336 ## - CONTENT TYPE |
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| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
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| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
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| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
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| Title |
Econometric Theory |
| Volume/sequential designation |
Volume 29, number 4 |
| 520 3# - SUMMARY, ETC. |
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| Summary, etc. |
We consider estimation and testing in finite-order autoregressive models with a (near) unit root and infinite-variance innovations. We study the asymptotic properties of estimators obtained by dummying out “large” innovations, i.e., those exceeding a given threshold. These estimators reflect the common practice of dealing with large residuals by including impulse dummies in the estimated regression. Iterative versions of the dummy-variable estimator are also discussed. We provide conditions on the preliminary parameter estimator and on the threshold that ensure that (i) the dummy-based estimator is consistent at higher rates than the ordinary least squares estimator, (ii) an asymptotically normal test statistic for the unit root hypothesis can be derived, and (iii) order of magnitude gains of local power are obtained. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Estimation theory |
| Form subdivision |
Autocorrelation |
| General subdivision |
Regression analysis |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Georgiev, Iliyan |
| Relator term |
co author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
DOI: https://doi.org/10.1017/S0266466613000030 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |