Panel stationary tests against changes in persistence

DOI10.1007/S00362-016-0864-6zbMath1432.62293OpenAlexW2559766047WikidataQ59465081 ScholiaQ59465081MaRDI QIDQ2010784

Joakim Westerlund, Roy Cerqueti, Luciano Gutierrez, Mauro Costantini

Publication date: 28 November 2019

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0864-6

zbMATH Keywords

persistencepanel datastationarity

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Determining the Number of Factors in Approximate Factor Models

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