Testing the power of a generalization of the KPSS-tests against fractionally integrated hypotheses

DOI10.1023/A:1024553430101zbMath1046.91098OpenAlexW1522556912MaRDI QIDQ1408467

Luis A. Gil-Alana

Publication date: 22 September 2003

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1024553430101

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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Monitoring procedures for strict stationarity based on the multivariate characteristic function

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