A Strongly Consistent Criterion to Decide Between I(1) and I(0) Processes Based on Different Convergence Rates

DOI10.1080/03610918.2012.679760zbMath1301.62081OpenAlexW2025381557MaRDI QIDQ5299927

Víctor Gómez

Publication date: 24 June 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.679760

zbMATH Keywords

least squares estimatornonstationaritystrong consistencyunit root testsGLS detrendingHannan-Rissanen procedure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

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Cites Work

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