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)

zbMATH Keywords

unit root testsregulated Brownian motionrange statisticsbounded integrated processes

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A floor and ceiling model of US output
• A functional central limit theorem for weakly dependent sequences of random variables
• 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
• Long-Term Memory in Stock Market Prices
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Testing for a unit root in time series regression
• 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)

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

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