The Limiting Density of Unit Root Test Statistics: A Unifying Technique

DOI10.1111/1467-9892.00184zbMath0957.62076OpenAlexW2002957286MaRDI QIDQ2703259

Mithat Gönen, Martien C. A. Van Zuijlen, Frits H. Ruymgaart, Madan Lal Puri

Publication date: 1 March 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00184

zbMATH Keywords

weak convergenceautoregressionunit root testfunctional of Brownian motionquadratic Gaussian distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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