The Tests of Robinson in the Context of AR(1) Disturbances

DOI10.1081/SAC-200040256zbMath1101.62366OpenAlexW2085286356MaRDI QIDQ3155649

Luis A. Gil-Alana

Publication date: 17 January 2005

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sac-200040256

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

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• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Semiparametric analysis of long-memory time series
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Mean reversion in the real exchange rates
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Testing for a unit root in time series regression
• Efficient Tests of Nonstationary Hypotheses

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