Efficient Tests of Nonstationary Hypotheses
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Publication:4323570
DOI10.2307/2291004zbMath0813.62016OpenAlexW4252145438MaRDI QIDQ4323570
Publication date: 23 February 1995
Full work available at URL: https://doi.org/10.2307/2291004
frequency domainwhite noisefinite-sample behaviortime series regressiontests for unit rootsoverdifferencingregression errorsexponential spectral modelasymptotically locally most powerfulscore principleempirical time serieslocal limit distributionsseasonally fractionally differenced processestest for nonstationarityweak parametric autocorrelation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05) Statistical tables (62Q05)
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