Statistical Adequacy and the Testing of Trend Versus Difference Stationarity

DOI10.1081/ETC-120023897zbMath1184.62202MaRDI QIDQ4414344

Aris Spanos, Elena Andreou

Publication date: 24 July 2003

Published in: Econometric Reviews (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Related Items (8)

Asset prices with non-permanent shocks to consumption ⋮ Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective ⋮ Nelson-Plosser revisited: the ACF approach ⋮ Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1) ⋮ Akaike-type criteria and the reliability of inference: model selection versus statistical model specification ⋮ The Asymptotic Covariance Matrix of the Least Squares Estimator in the Stochastic Linear Regression Model: The Case of Elliptically Symmetric Distribution ⋮ On the Properties of the Likelihood Function of Spanos' Conditional t Heteroskedastic Model ⋮ ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES

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