Unit root test combination via random forests
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Publication:6601922
Monte Carlo simulationsequential testingsupervised machine learningconditional inference treesARIMA time series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)
Cites work
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
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- Bootstrap Unit Root Tests
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- Polynomial splines and their tensor products in extended linear modeling. (With discussions)
- Random forests
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- Spurious regressions in econometrics
- Testing for Unit Roots in Seasonal Time Series
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- Tests for Unit Roots and the Initial Condition
- Time Series Regression with a Unit Root
- Trends and random walks in macroeconomic time series
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Understanding nonsense correlation between (independent) random walks in finite samples
- Understanding spurious regressions in econometrics
- Unit root testing
- Unit root tests in the presence of uncertainty about the non-stochastic trend
- Why do we sometimes get nonsense-correlations between time-series? A study sampling and the nature of time-series.
- Yule's ``nonsense correlation solved!
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