Testing a Unit Root Based on Aggregate Time Series

DOI10.1080/03610920701669736zbMath1274.62559OpenAlexW2092221079MaRDI QIDQ5457983

Erin M. Hodgess, Paulo Teles, William W. S. Wei

Publication date: 10 April 2008

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701669736

zbMATH Keywords

unit rootDickey-Fuller testsrandom walk modelsignificance levelaggregate time seriesright-shifted distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

The use of temporally aggregated data in modeling and testing a variance change in a time series ⋮ Optimum Designs for Parameter Estimation in Linear Mixture Models with Synergistic Effects ⋮ A spectral measure for the information loss of temporal aggregation

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