Unit-root detection allowing for measurement error

DOI10.1016/J.SPL.2005.04.059MaRDI QIDQ2573261zbMATH OpenOpenAlexFDO

Authors Kosei Fukuda

Publication date 7 November 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.04.059

zbMATH Keywords

Bayesian information criterionMeasurement errorModel selectionUnit rootFiltered least squares

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 4047369 (Why is no real title available?)
• A new look at the statistical model identification
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimating the dimension of a model
• New small sample estimators for cointegration regression: low-pass spectral filter method
• The estimation of the order of an ARMA process
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(3)

• scientific article; zbMATH DE number 6719343 (Why is no real title available?)
• BIC-based unit-root detection: simulation-based evidence
• Distribution switching in financial time series

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