Model selection in the presence of nonstationarity
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Publication:528002
DOI10.1016/j.jeconom.2012.01.029zbMath1443.62271OpenAlexW2052908769MaRDI QIDQ528002
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000395
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)
Related Items (2)
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
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