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  • Search: subject:"Spectral density estimator"
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Year of publication
Subject
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Brownian motion 3 Seasonal unit root tests 3 Frequency domain regression 2 Moving average 2 Spectral density estimator 2 Einheitswurzeltest 1 Estimation theory 1 Regression analysis 1 Regressionsanalyse 1 Saisonale Schwankungen 1 Saisonkomponente 1 Schätztheorie 1 Seasonal component 1 Seasonal variations 1 Stochastic process 1 Stochastischer Prozess 1 Time series analysis 1 Unit root test 1 Zeitreihenanalyse 1 frequency domain regression 1 moving average 1 spectral density estimator 1
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Online availability
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Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2 Undetermined 1
Author
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Chambers, Marcus J. 3 Ercolani, Joanne S. 3 Taylor, A. M. Robert 1 Taylor, A.M. Robert 1 Taylor, Robert 1
Institution
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Granger Centre for Time Series Econometrics, School of Economics 1
Published in...
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Discussion Papers / Granger Centre for Time Series Econometrics, School of Economics 1 Journal of Econometrics 1 Journal of econometrics 1
Source
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Testing for seasonal unit roots by frequency domain regression
Chambers, Marcus J.; Ercolani, Joanne S.; Taylor, A.M. … - In: Journal of Econometrics 178 (2014) P2, pp. 243-258
This paper develops univariate seasonal unit root tests based on spectral regression estimators. An advantage of the frequency domain approach is that it enables serial correlation to be treated non-parametrically. We demonstrate that our proposed statistics have pivotal limiting distributions...
Persistent link: https://www.econbiz.de/10011052225
Saved in:
Cover Image
Testing for seasonal unit roots by frequency domain regression
Chambers, Marcus J.; Ercolani, Joanne S.; Taylor, Robert - In: Journal of econometrics 178 (2014) 1, pp. 243-258
Persistent link: https://www.econbiz.de/10010256166
Saved in:
Cover Image
Testing for seasonal unit roots by frequency domain regression
Chambers, Marcus J.; Ercolani, Joanne S.; Taylor, A. M. … - Granger Centre for Time Series Econometrics, School of … - 2010
This paper develops univariate seasonal unit root tests based on spectral regression estimators. An advantage of the frequency domain approach is that it enables serial correlation to be treated non-parametrically. We demonstrate that our proposed statistics have pivotal limiting distributions...
Persistent link: https://www.econbiz.de/10008516778
Saved in:
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