Bounded integrated processes and unit root tests

DOI10.1007/BF02511445MaRDI QIDQ1766955zbMATH OpenFDO

Authors Giuseppe Cavaliere

Publication date 3 March 2005

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02511445

zbMATH Keywords

bounded integrated processesrange statisticsregulated Brownian motionunit root tests

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotics for linear processes
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Testing the unit root hypothesis using generalized range statistics
• Time Series Regression with a Unit Root

Cited in

(4)

• Testing for boundary conditions in case of fractionally integrated processes
• Testing for unit roots in bounded time series
• Regulated seasonal unit root process
• LIMITED TIME SERIES WITH A UNIT ROOT

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