The variance ratio and trend stationary model as extensions of a constrained autoregressive model

DOI10.1002/FOR.1137zbMath1203.62162OpenAlexW3121386036MaRDI QIDQ3065530

Shlomo Zilca

Publication date: 6 January 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1137

zbMATH Keywords

random walkautoregressive modelsvariance ratiotrend stationaritytrend stationary model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

Cites Work

• When are Variance Ratio Tests for Serial Dependence Optimal?
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