Testing for a unit root nonstationarity in multivariate autoregressive time series
type: Item
instance of: scholarly article
title: Testing for a unit root nonstationarity in multivariate autoregressive time series
zbMATH Open document ID: 0674.62055
author: Nicolaos G. Fountis
author: David A. Dickey
published in: The Annals of Statistics
publication date: 1989-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M02
zbMATH DE Number: 4104219
zbMATH Keywords: nonstationarity
zbMATH Keywords: characteristic equation
zbMATH Keywords: multiple autoregressive time series
zbMATH Keywords: ordinary least squares
zbMATH Keywords: largest estimated eigenvalue
zbMATH Keywords: unit root hypothesis
zbMATH Keywords: critical values
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1176347025
OpenAlex ID: W2038469037
DOI: 10.1214/AOS/1176347025
description: scientific article; zbMATH DE number 4104219