Since 2014
A selective review on the issue of testing for a unit autoregressive root
Journal of Economics and Business - SPOUDAI
View Archive Info| Field | Value | |
| Title |
A selective review on the issue of testing for a unit autoregressive root
A selective review on the issue of testing for a unit autoregressive root |
|
| Creator |
Αγιακλόγλου, Χρήστος Ν.
|
|
| Subject |
Οικονομετρική ανάλυση
Econometric models; Time-series analysis |
|
| Description |
In the recent few years an increasing effort has been made to establish reliable testing procedures to determine whether or not an observed time series is generated by a unit autoregressive root process. This paper presents in a selective manner some of the most common and widely used test statistics for testing for a unit autoregressive root and evaluates the performance of these test statistics in moderately large samples. |
|
| Publisher |
University of Piraeus
|
|
| Date |
1999-01-01
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
|
| Format |
application/pdf
|
|
| Identifier |
http://spoudai.unipi.gr/index.php/spoudai/article/view/1103
|
|
| Source |
SPOUDAI - Journal of Economics and Business; Vol 49, No 1-4 (1999); 14-32
2241-424X 1105-8919 |
|
| Language |
eng
|
|
| Relation |
http://spoudai.unipi.gr/index.php/spoudai/article/view/1103/1182
|
|
| Rights |
Copyright (c) 1999 SPOUDAI - Journal of Economics and Business
|
|