THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES

DOI10.1017/S0266466608080250zbMath1284.62141MaRDI QIDQ3632393

Ulrich K. Müller

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62J05: Linear regression; mixed models

60F05: Central limit and other weak theorems

60G10: Stationary stochastic processes

60F17: Functional limit theorems; invariance principles

62F05: Asymptotic properties of parametric tests

Related Items

Summability of stochastic processes -- a generalization of integration for non-linear processes, Powerful Unit Root Tests Free of Nuisance Parameters, Reducing the size distortion of the KPSS test

Cites Work

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