A test for second order stationarity of a multivariate time series
DOI10.1016/j.jeconom.2014.09.010zbMath1332.62328OpenAlexW2107784880MaRDI QIDQ2343767
Suhasini Subba Rao, Carsten Jentsch
Publication date: 6 May 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.09.010
discrete Fourier transformnonlinear time serieslocal stationaritystationary bootstraptesting for stationarity
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)
Related Items (14)
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