Testing a multivariate process for multiple unit roots

MaRDI QIDQ4919848zbMATH OpenFDO

Authors Key I. Shin

Publication date 15 May 2013

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• Testing for a unit root nonstationarity in multivariate autoregressive time series
• Tests against stationary and explosive alternatives in vector autoregressive models
• A Multivariate Unit Root Test Based on the Modified Weighted Symmetric Estimator for VAR(p)

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