Asymptotic Distribution of a Unit Root Process Under Double Truncation

DOI10.1081/STA-120023267MaRDI QIDQ4420252zbMATH OpenFDO

Authors Elena Goldman, Hiroki Tsurumi

Publication date 14 August 2003

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/STA-120023267

zbMATH Keywords

Double truncationUnit root

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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• LIMITED TIME SERIES WITH A UNIT ROOT
• Unit root testing in presence of a double threshold process
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• Time Series Regression with a Unit Root
• The Fractional Unit Root Distribution

Cites work

• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Testing efficient market hypothesis for the dollar--sterling gold standard exchange rate 1890--1906: MLE with double truncation

Cited in

(2)

• Testing efficient market hypothesis for the dollar--sterling gold standard exchange rate 1890--1906: MLE with double truncation
• More on the correct use of omnibus tests for normality

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