On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives
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Publication:4387627
DOI10.1080/03610919708813448zbMath0925.62390MaRDI QIDQ4387627
Pedro J. F. de Lima, Nuno Crato
Publication date: 5 May 1999
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610919708813448
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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