On time series with randomized unit root and randomized seasonal unit root

DOI10.1016/S0167-9473(02)00298-0zbMath1429.62395OpenAlexW2041297177MaRDI QIDQ951936

Wai Keung Li, Pak Wing Fong

Publication date: 4 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00298-0

zbMATH Keywords

Brownian motionMarkov chain Monte Carlorandomized seasonal unit rootrandomized unit rootscore-based test

Mathematics Subject Classification ID

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

Related Items (1)

Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing

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