STOCHASTIC UNIT ROOT MODELS
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Publication:3434190
DOI10.1017/S0266466606060518zbMath1170.62358OpenAlexW2104191808MaRDI QIDQ3434190
Christian Gouriéroux, Christian Y. Robert
Publication date: 23 April 2007
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466606060518
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)
Related Items (6)
Adaptive consistent unit-root tests based on autoregressive threshold model ⋮ SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS ⋮ Testing for observation-dependent regime switching in mixture autoregressive models ⋮ Duration time-series models with proportional hazard ⋮ REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS ⋮ Heavy tailed time series with extremal independence
Cites Work
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- Basic properties of strong mixing conditions. A survey and some open questions
- A simple nonlinear time series model with misleading linear properties
- An introduction to stochastic unit-root processes
- Memory and infrequent breaks
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Threshold Cointegration
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