A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data (Q5863644)
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scientific article; zbMATH DE number 7536145
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| English | A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data |
scientific article; zbMATH DE number 7536145 |
Statements
A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data (English)
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3 June 2022
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long memory
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misspecification
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nonlinearity
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structural breaks
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unit root tests
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0.8109540343284607
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0.8086116313934326
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0.8021053075790405
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0.7938781380653381
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0.7911102175712585
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