The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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Publication:4733272
DOI10.2307/1913712zbMath0683.62066OpenAlexW2116388354WikidataQ115188661 ScholiaQ115188661MaRDI QIDQ4733272
Publication date: 1989
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/e34c5365f661962bb4d0756c5f940fb1b14f09d9
Wiener processtime serieshypothesis testinglimiting distributionstructural changedeterministic trendpercentage pointsunit root hypothesisintervention analysisfunctional weak convergencestochastic trendsoil price shocknonzero driftone-time changetrend stationary alternatives
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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