Sequential monitoring for changes from stationarity to mild non-stationarity
Lajos Horváth, Zhenya Liu, Gregory Rice, Shixuan Wang
| Year of publication: |
2020
|
|---|---|
| Authors: | Horváth, Lajos ; Liu, Zhenya ; Rice, Gregory ; Wang, Shixuan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 215.2020, 1, p. 209-238
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| Subject: | Change point detection | Non-stationary ARMA time series | Non-stationary GARCH time series | Normal approximation | Stationarity testing | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Einheitswurzeltest | Unit root test | Schätztheorie | Estimation theory | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.08.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012439449