Testing for a unit root nonstationarity in multivariate autoregressive time series

DOI10.1214/aos/1176347025zbMath0674.62055OpenAlexW2038469037MaRDI QIDQ1121626

David A. Dickey, Nicolaos G. Fountis

Publication date: 1989

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347025

zbMATH Keywords

critical valuescharacteristic equationnonstationarityordinary least squaresunit root hypothesislargest estimated eigenvaluemultiple autoregressive time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

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