Trends versus Random Walks in Time Series Analysis

DOI10.2307/1913101zbMath0653.62068OpenAlexW2098568609MaRDI QIDQ3799525

Steven N. Durlauf, Peter C. B. Phillips

Publication date: 1988

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0788.pdf

zbMATH Keywords

random walksspecification testsregressionmisspecificationintegrated time seriesregression diagnosticstestsleast squares estimatorsHausman testsDurbin-Watson statisticsF testsasymptotic properties of regressionsdeterministic time trendseffects of spurious detrendingexcess volatility testsseries stationarity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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