Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation
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Publication:5133504
DOI10.1108/S0731-905320140000033002zbMath1453.62645OpenAlexW1551868450MaRDI QIDQ5133504
Publication date: 10 November 2020
Published in: Essays in Honor of Peter C. B. Phillips (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1108/s0731-905320140000033002
fixed-smoothing asymptoticslocal-to-unityautocorrelation robust teststrong autocorrelationweak unit root
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)
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