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TESTS FOR SEASONAL DIFFERENCING WITH AN UNKNOWN BREAK‐POINT - MaRDI portal

TESTS FOR SEASONAL DIFFERENCING WITH AN UNKNOWN BREAK‐POINT

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Publication:4354757

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DOI10.1111/J.1467-842X.1996.TB00670.XzbMath0884.62097MaRDI QIDQ4354757

Wai Keung Li, Tze-Man Ng

Publication date: 1996

Published in: Australian Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

Wiener process structural change Lagrange multiplier tests break-point broken trend regular and seasonal unit roots

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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