Higher-order sample autocorrelations and the unit root hypothesis
type: Item
instance of: scholarly article
title: Higher-order sample autocorrelations and the unit root hypothesis
zbMATH Open document ID: 0776.62065
DOI: 10.1016/0304-4076(93)90062-A
author: Herman J. Bierens
published in: Journal of Econometrics
publication date: 1993-11-24T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 202512
zbMATH Keywords: stationarity
zbMATH Keywords: trend stationarity
zbMATH Keywords: \(\text{ARIMA}(p,1,q)\) processes
zbMATH Keywords: mixing conditions
zbMATH Keywords: limiting distributions
zbMATH Keywords: lag length
zbMATH Keywords: covariance function
zbMATH Keywords: differenced time series
zbMATH Keywords: detrended time series
zbMATH Keywords: new tests of the unit root hypothesis
zbMATH Keywords: higher-order sample autocorrelations
MaRDI profile type: Publication
cites work: Q5560061
cites work: Q4137964
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
cites work: Testing for Unit Roots in Seasonal Time Series
cites work: Testing For Unit Roots: 1
cites work: Testing for Unit Roots: 2
cites work: Q4124141
cites work: The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
cites work: Time Series Regression with a Unit Root
cites work: Testing for a unit root in time series regression
cites work: Testing for unit roots in autoregressive-moving average models of unknown order
full work available at URL: 0304-4076(93)90062-a
OpenAlex ID: W1986063574
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description: scientific article; zbMATH DE number 202512