Testing the null of stationarity for multiple time series

DOI10.1016/S0304-4076(98)00021-9zbMath1070.62522MaRDI QIDQ1305677

V. Pereyra

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

LM test; Multiple time series; Null of stationery; Sargan-Bhargava-Durbin-Hausman test

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

Related Items

A REVIEW OF SYSTEMS COINTEGRATION TESTS, Testing for stationarity in series with a shift in the mean. A Fredholm approach, An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks, Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors, Efficient inference in multivariate fractionally integrated time series models, Local Asymptotic Distributions of Stationarity Tests

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