Unit root test combination via random forests
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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
- A critique of the application of unit root tests
- A note on the power of least squares tests for a unit root
- Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
- Bootstrap Unit Root Tests
- Bootstrap Unit-Root Tests: Comparison and Extensions
- Bootstrapping unit root tests for integrated processes
- Consistency of random forests and other averaging classifiers
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Tests for an Autoregressive Unit Root
- Forecasting with difference-stationary and trend-stationary models
- scientific article; zbMATH DE number 3550005 (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
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Minimizing the impact of the initial condition on testing for unit roots
- Performance of seasonal unit root tests for monthly data
- Polynomial splines and their tensor products in extended linear modeling. (With discussions)
- Random forests
- Seasonal integration and cointegration
- Seasonal unit roots in aggregate U.S. data (with discussion)
- Spurious regressions in econometrics
- Testing for a unit root in time series regression
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing for Unit Roots in Seasonal Time Series
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Tests for Unit Roots and the Initial Condition
- Time Series Regression with a Unit Root
- Trends and random walks in macroeconomic time series
- Understanding nonsense correlation between (independent) random walks in finite samples
- Understanding spurious regressions in econometrics
- 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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