Unit root test combination via random forests

DOI10.1007/978-3-031-14197-3_3MaRDI QIDQ6601922zbMATH OpenFDO

Authors Luca Nocciola, Daniel Ollech, Karsten Webel

Publication date 11 September 2024

Full work available at URL https://doi.org/10.1007/978-3-031-14197-3_3

zbMATH Keywords

ARIMA time seriesconditional inference treesMonte Carlo simulationsequential testingsupervised machine learning

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Economic time series analysis (91B84)

Cites work

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• Trends and random walks in macroeconomic time series
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• Unit root testing
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• 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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