An Example of Instability: Discussion of the Paper by Søren Johansen and Bent Nielsen

DOI10.1111/SJOS.12207zbMath1419.62226OpenAlexW2469650403MaRDI QIDQ2815579

Jurgen A. Doornik

Publication date: 29 June 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12207

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric robustness (62G35) Non-Markovian processes: hypothesis testing (62M07)

Uses Software

• Ox

Cites Work

• A low-dimension portmanteau test for non-linearity

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