STOCHASTIC UNIT ROOT MODELS

DOI10.1017/S0266466606060518zbMath1170.62358OpenAlexW2104191808MaRDI QIDQ3434190

Christian Gouriéroux, Christian Y. Robert

Publication date: 23 April 2007

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466606060518

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

Related Items (6)

Adaptive consistent unit-root tests based on autoregressive threshold model ⋮ SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS ⋮ Testing for observation-dependent regime switching in mixture autoregressive models ⋮ Duration time-series models with proportional hazard ⋮ REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS ⋮ Heavy tailed time series with extremal independence

Cites Work

• Unnamed Item
• Basic properties of strong mixing conditions. A survey and some open questions
• A simple nonlinear time series model with misleading linear properties
• An introduction to stochastic unit-root processes
• Memory and infrequent breaks
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Threshold Cointegration

This page was built for publication: STOCHASTIC UNIT ROOT MODELS