On the Theory of Testing for Unit Roots in Observed Time Series
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Publication:3738431
DOI10.2307/2297634zbMath0602.62074OpenAlexW2016363046WikidataQ29011432 ScholiaQ29011432MaRDI QIDQ3738431
Publication date: 1986
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2297634
new most powerful invariant testsone-sided non-stationary (non-explosive or explosive) alternative hypothesisrandom walk with a constant driftunit root null hypothesisvon Neumann type ratio
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50)
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