A differencing test

DOI10.1080/07474939508800313zbMath0825.62674OpenAlexW1964151464MaRDI QIDQ4853094

Philip Hans Franses

Publication date: 13 December 1995

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

Full work available at URL: http://repub.eur.nl/pub/2083

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (1)

COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES

Cites Work

• Estimation of a non-invertible moving average process: the case of overdifferencing
• Intertemporal consumer behaviour under structural changes in income
• Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
• Differencing as a Test of Specification
• A Simplified Version of the Differencing Test
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• The use of dummy variables in consumption models

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