A simple multiple variance ratio test (Q1260679)
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scientific article; zbMATH DE number 370491
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A simple multiple variance ratio test |
scientific article; zbMATH DE number 370491 |
Statements
A simple multiple variance ratio test (English)
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25 August 1993
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random walk hypotheses
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stationary alternatives
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large Type I errors
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testing multiple variance ratios
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Monte Carlo results
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unit root tests
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stationary AR(1) alternative
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ARIMA(1,1,1)
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ARIMA(1,1,0)
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0.87557452917099
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0.8384650349617004
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0.834653377532959
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0.8150948882102966
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0.8094193935394287
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