STATIONARITY TESTING WITH COVARIATES

DOI10.1017/S0266466604201037zbMath1064.62098MaRDI QIDQ4814246

Michael Jansson

Publication date: 7 September 2004

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

zbMATH Keywords

tables

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (6)

A simple, robust and powerful test of the trend hypothesis ⋮ A Lagrange multiplier stationarity test using covariates ⋮ A covariate residual-based cointegration test applied to the CDS-bond basis ⋮ Testing for stationarity with covariates: more powerful tests with non-normal errors ⋮ Low-frequency robust cointegration testing ⋮ Point optimal tests of the null hypothesis of cointegration

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