Powerful Unit Root Tests Free of Nuisance Parameters

DOI10.1111/jtsa.12172zbMath1359.62371MaRDI QIDQ2815048

Mehdi Hosseinkouchack, Uwe Hassler

Publication date: 27 June 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12172

zbMATH Keywords

variance ratio; Karhunen-Loève; local-to-unity; tuning parameter free

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M07: Non-Markovian processes: hypothesis testing

Related Items

Ratio tests under limiting normality

Cites Work

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