Geometric versus arithmetic random walk: The case of trended variables

DOI10.1016/S0378-3758(97)00142-0zbMATH Open0944.62079OpenAlexW1997396994MaRDI QIDQ1299544FDOQ1299544

Frédéric Jouneau, Emmanuel Guerre

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

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zbMATH Keywords

model selectionmisspecificationBox-Cox transformationintegrated time series

Mathematics Subject Classification ID

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

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