A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data

DOI10.1080/07474938.2014.976526zbMath1491.62128OpenAlexW2007184821MaRDI QIDQ5863644

Aaron D. Smallwood

Publication date: 3 June 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2014.976526

zbMATH Keywords

nonlinearitylong memoryunit root testsmisspecificationstructural breaks

Mathematics Subject Classification ID

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

Cites Work

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