TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION

DOI10.1111/j.1467-9892.1996.tb00289.xzbMath0858.62078OpenAlexW2057150353MaRDI QIDQ4715811

Pentti Saikkonen, Ritva Luukkonen

Publication date: 23 March 1997

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00289.x

zbMATH Keywords

simulationlimiting distributionintegrated processdifferencingtime series regression modelsoverdifferencingasymptotic critical valueslocally best invariant unbiased testsmoving-average unit rootGaussian autoregressive moving-average errors

Mathematics Subject Classification ID

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

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