Similar Search Results

Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance

Sen, Amit - In: Journal of Time Series Analysis 28 (2007) 5, pp. 686-700

We develop extensions of the Dickey-Fuller F-statistics for the joint null hypothesis of a unit root that allows for a break in the innovation variance. Our statistics are based on the modified generalized least squares (GLS) strategy outlined in Kim, Leybourne and Newbold [Journal of...

Persistent link: https://www.econbiz.de/10005676613

DYNAMIC MODELS FOR VOLATILITY AND HEAVY TAILS: WITH APPLICATIONS TO FINANCIAL AND ECONOMIC TIME SERIES, BY A. C. HARVEY. PUBLISHED BY CAMBRIDGE UNIVERSITY PRESS, 2013 NEW YORK, USA. TOTAL NUMBER OF PAGES: 261. PRICE: $36.99. ISBN: <accessionId ref="info:x-wiley/isbn/9781107630024">978-1-107-63002-4</accessionId>

Hall, Alastair R. - In: Journal of Time Series Analysis 35 (2014) 2, pp. 187-188

Persistent link: https://www.econbiz.de/10011036615

The Oxford Handbook of Economic Forecasts

Hall, Alastair R. - In: Journal of Time Series Analysis 33 (2012) 3, pp. 530-531

Persistent link: https://www.econbiz.de/10010543919

Inference about long run canonical correlations

Dovonon, Prosper; Hall, Alastair R.; Jana, Kalidas - In: Journal of Time Series Analysis 33 (2012) 4, pp. 665-683

Persistent link: https://www.econbiz.de/10010568314

Economic Time Series: Modeling and Seasonality

Hall, Alastair R. - In: Journal of Time Series Analysis 34 (2013) 2, pp. 282-283

Persistent link: https://www.econbiz.de/10010642570