The Power of Some Tests for Difference Stationarity under Local Heteroscedastic Integration

DOI10.2307/2670125zbMath0926.62084OpenAlexW4256228411MaRDI QIDQ4216970

Richard J. Smith, B. P. M. McCabe

Publication date: 28 November 1999

Full work available at URL: https://doi.org/10.2307/2670125

zbMATH Keywords

Brownian motionnonstationarityunit rootsautoregressionDickey-Fuller test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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