Recursive adjustment, unit root tests and structural breaks
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Publication:2852481
DOI10.1111/j.1467-9892.2012.00813.xzbMath1274.62615OpenAlexW2153189014MaRDI QIDQ2852481
Publication date: 9 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00813.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Non-Markovian processes: hypothesis testing (62M07)
Related Items (5)
Recursive adjustment for general deterministic components and improved cointegration rank tests ⋮ On trend breaks and initial condition in unit root testing ⋮ Recursive adjusted unit root tests under non-stationary volatility ⋮ Recursive adjustment, unit root tests and structural breaks ⋮ The effect of recursive detrending on panel unit root tests
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