Testing for a unit root in a near-integrated model with skip-sampled data

DOI10.1111/JTSA.12097MaRDI QIDQ3192390zbMATH OpenOpenAlexFDO

Authors Marcus J. Chambers

Publication date 12 October 2015

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://repository.essex.ac.uk/12038/1/ctur%28jn%29.pdf

zbMATH Keywords

ARMA modelGLS detrendingnear-integrated modelskip samplingunit root

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
• Deriving the exact discrete analog of a continuous time system
• DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
• Efficient Tests for an Autoregressive Unit Root
• Error Correction and Long-Run Equilibrium in Continuous Time
• scientific article; zbMATH DE number 3949563 (Why is no real title available?)
• Integration Versus Trend Stationary in Time Series
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Note on the Correlation of First Differences of Averages in a Random Chain
• RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• Towards a unified asymptotic theory for autoregression
• Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average

Cited in

(3)

• Corrigendum to: ``Testing for unit roots with flow data and varying sampling frequency
• Deterministic parameter change models in continuous and discrete time
• TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR

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