Tests for changing mean with monotonic power

DOI10.1016/j.jeconom.2008.08.020zbMath1429.62374OpenAlexW2016174117MaRDI QIDQ301955

Zhijie Xiao, Ted Juhl

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.020

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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