Unit-root detection allowing for measurement error
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Publication:2573261
DOI10.1016/j.spl.2005.04.059zbMath1115.62009OpenAlexW2070606149MaRDI QIDQ2573261
Publication date: 7 November 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2005.04.059
Related Items (2)
BIC-based unit-root detection: simulation-based evidence ⋮ Distribution switching in financial time series
Cites Work
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- Estimating the dimension of a model
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- A new look at the statistical model identification
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