Geometric versus arithmetic random walk: The case of trended variables

DOI10.1016/S0378-3758(97)00142-0MaRDI QIDQ1299544zbMATH OpenOpenAlexFDO

Authors Emmanuel Guerre, Frédéric Jouneau

Publication date 26 September 2000

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-3758(97)00142-0

zbMATH Keywords

Box-Cox transformationintegrated time seriesmisspecificationmodel selection

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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