Size and power of tests of stationarity in highly autocorrelated time series
From MaRDI portal
Publication:265023
DOI10.1016/j.jeconom.2004.08.012zbMath1337.62224MaRDI QIDQ265023
Publication date: 1 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://ux-tauri.unisg.ch/RePEc/usg/dp2002/dp0226mueller_ganz.pdf
mean reversion; efficient stationarity tests; local-to-unity asymptotics; long-run variance estimation
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M07: Non-Markovian processes: hypothesis testing
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