Recursive demeaning and deterministic seasonality
From MaRDI portal
Publication:1779676
DOI10.1016/j.spl.2004.11.025zbMath1075.62082MaRDI QIDQ1779676
Publication date: 1 June 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2004.11.025
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods
Related Items
Cites Work
- Seasonal integration and cointegration
- Nonlinear instrumental variable estimation of an autoregression.
- Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
- Nonlinear IV unit root tests in panels with cross-sectional dependency.
- recursive Mean Adjustment for Unit Root Tests
- CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
- Testing for Unit Roots in Seasonal Time Series
- Recursive mean adjustment and tests for nonstationarities