Assessing Persistence In Discrete Nonstationary Time‐Series Models

DOI10.1111/J.1467-9892.2005.00402.XMaRDI QIDQ5467605zbMATH OpenOpenAlexFDO

Authors Gael M. Martin, A. R. Tremayne, Brendan McCabe

Publication date 24 May 2006

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2005.00402.x

zbMATH Keywords

Cramér representationimpulse responsestochastic integrationstochastic unit root modelvariance ratio

Mathematics Subject Classification ID

Nonparametric inference (62G99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An introduction to stochastic unit-root processes
• Closure of linear processes
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 194951 (Why is no real title available?)
• scientific article; zbMATH DE number 3031372 (Why is no real title available?)
• Long memory processes and fractional integration in econometrics
• Stochastic cointegration: estimation and inference.
• What is a linear process?

Cited in

(1)

• Diagnostic analysis and computational strategies for estimating discrete time duration models -- a Monte Carlo study

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