Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components

DOI10.2202/1558-3708.1562zbMath1194.62128OpenAlexW2139562234MaRDI QIDQ3574732

Jesús Gonzalo, Laura Mayoral, Juan J. Dolado

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1562

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ Minimum distance estimation of stationary and non‐stationary ARFIMA processes ⋮ A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data

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