TESTS OF COMMON STOCHASTIC TRENDS

DOI10.1017/S0266466600162024MaRDI QIDQ4512678zbMATH OpenOpenAlexFDO

Authors

Publication date 29 March 2001

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466600162024

zbMATH Keywords

cointegrationnonparametric adjustmentrandom walkserial correlationstochastic volatilitywhite noise

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

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• Testing the null of stationarity for multiple time series
• Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
• Cotrending: testing for common deterministic trends in varying means model
• A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
• Regression-based analysis of cointegration systems
• A unifying theory of tests of rank
• Low-frequency robust cointegration testing
• Testing the nominal-to-real transformation
• Testing for common deterministic trend slopes
• Extracting a common stochastic trend: theory with some applications
• Tests of strict stationarity based on quantile indicators
• Modelling phase shifts among stochastic cycles
• Testing for Common Trends
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
• Karhunen-Loève expansions for the detrended Brownian motion
• ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS
• Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
• Cointegrated VARIMA Models: Specification and Simulation
• Rank tests for short memory stationarity
• Bootstrap LR tests of stationarity, common trends and cointegration
• scientific article; zbMATH DE number 5041474 (Why is no real title available?)
• Multistep ahead forecasting of vector time series
• Invariant tests for covariance structures in multivariate linear model
• Inference in Heavy-Tailed Nonstationary Multivariate Time Series
• INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES
• Functional principal component analysis for cointegrated functional time series
• Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy

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