Structural breaks, unit roots and methods for removing the autocorrelation pattern (Q1573272): Difference between revisions

@@ Property / author @@
-Antonio Montanés
@@ Property / author: Antonio Montanés / rank @@
-Normal rank
@@ Property / author @@
-Marcelo Bussotti Reyes
@@ Property / author: Marcelo Bussotti Reyes / rank @@
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@@ Property / author @@
+Antonio Montanés
@@ Property / author: Antonio Montanés / rank @@
+Normal rank
@@ Property / author @@
+Marcelo Bussotti Reyes
@@ Property / author: Marcelo Bussotti Reyes / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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@@ Property / cites work @@
+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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@@ Property / cites work @@
+Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
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@@ Property / cites work @@
+Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
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@@ Property / cites work @@
+The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
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@@ Property / cites work @@
+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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@@ Property / cites work @@
+Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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@@ Property / cites work @@
+The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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@@ Property / cites work @@
+Testing for a unit root in time series regression
@@ Property / cites work: Testing for a unit root in time series regression / rank @@
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@@ Property / cites work @@
+Testing for unit roots in autoregressive-moving average models of unknown order
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0167-7152(00)00023-7
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@@ Property / OpenAlex ID @@
+W1963633849
@@ Property / OpenAlex ID: W1963633849 / rank @@
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@@ Property / Wikidata QID @@
+Q127027697
@@ Property / Wikidata QID: Q127027697 / rank @@
+Normal rank