OPTIMAL VERSUS ROBUST INFERENCE IN NEARLY INTEGRATED NON-GAUSSIAN MODELS

DOI10.1017/S0266466604201025zbMath1046.62095OpenAlexW3125321943MaRDI QIDQ4814245

Samuel B. Thompson

Publication date: 7 September 2004

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

Full work available at URL: https://doi.org/10.1017/s0266466604201025

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (1)

A class of simple distribution-free rank-based unit root tests

This page was built for publication: OPTIMAL VERSUS ROBUST INFERENCE IN NEARLY INTEGRATED NON-GAUSSIAN MODELS