𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Unit root tests in the presence of uncertainty about the non-stochastic trend

✍ Scribed by Leila Ayat; Peter Burridge

Book ID
108432804
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
162 KB
Volume
95
Category
Article
ISSN
0304-4076

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Unit root testing in the presence of ARF
Unit root testing in the presence of ARFIMA–GARCH errors
✍ Gaowen Wang πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 176 KB πŸ‘ 2 views

## Abstract We consider asymptotic behavior of self‐normalized sums of autoregressive fractionally integrated moving average (ARFIMA) processes whose innovations are GARCH errors. The asymptotic distribution of the sums is derived under very mild conditions. Applications to unit root tests with ARF

Testing for (common) stochastic trends i
Testing for (common) stochastic trends in the presence of structural breaks
✍ Fabio Busetti πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 199 KB πŸ‘ 2 views

## Abstract This paper considers the problem of testing for the presence of stochastic trends in multivariate time series with structural breaks. The breakpoints are assumed to be known. The testing framework is the multivariate locally best invariant test and the common trend test of Nyblom and Ha