Testing for a unit root in time series regression
Publication:3787332
DOI10.1093/BIOMET/75.2.335zbMath0644.62094OpenAlexW2097580026WikidataQ56851877 ScholiaQ56851877MaRDI QIDQ3787332
Peter C. B. Phillips, Pierre Perron
Publication date: 1988
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0795-r.pdf
weak convergenceBrownian motionnuisance parametersSimulationsunit rootstationaritytime series modelsasymptotic null distributionsequence of local alternativesheterogeneously distributed dataleast squares regression estimationlocal asymptotic power functionsnoncentral distribution theoryunit root nonstationarity
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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