Discriminating between nonstationary and nearly nonstationary time series models: A simulation study

DOI10.1016/0377-0427(92)90135-KzbMath0751.62040MaRDI QIDQ1195390

Oliver D. Anderson, Jan G. De Gooijer

Publication date: 26 October 1992

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

cross-over phenomenonBox-Jenkins identificationnonstationary time series modelsnearly nonstationary approximationsserial correlation distributional propertiestests for unit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

More effective time-series analysis and forecasting

Cites Work

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• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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