Tests of Linear and Logarithmic Transformations for Integrated Processes

DOI10.2307/2670001zbMath0996.62081OpenAlexW2036479502MaRDI QIDQ4541247

Masahito Kobayashi, Michael McAleer

Publication date: 30 July 2002

Full work available at URL: https://doi.org/10.2307/2670001

zbMATH Keywords

integrated processesdata transformationnonnested tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test ⋮ Testing for the Box-Cox parameter for an integrated process ⋮ Testing for unit roots in the context of misspecified logarithmic random walks.

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