Structural changes and unit roots in non-stationary time series

DOI10.1016/j.jspi.2011.07.021zbMath1229.62115OpenAlexW1998746886MaRDI QIDQ643410

Boris S. Darkhovsky, B. E. Brodskii

Publication date: 28 October 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.07.021

zbMATH Keywords

nonparametric methods

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Cites Work

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• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• The Cusum Test with Ols Residuals
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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