Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration

DOI10.1080/07474946.2013.803815zbMath1319.62099MaRDI QIDQ2854358

Ansgar Steland, Sabine Weidauer

Publication date: 18 October 2013

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2013.803815

zbMATH Keywords

functional central limit theorem; invariance principle; high-frequency data; change-point; nonstandard asymptotics; sequential analysis; unit root process

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G10: Nonparametric hypothesis testing

62G20: Asymptotic properties of nonparametric inference

60F17: Functional limit theorems; invariance principles

62L12: Sequential estimation

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