Similar Search Results

Large and small sample information criteria for GARCH models based on the estimation of the Kullback-Leibler discrepancy

Brooks, Chris - 1997

Persistent link: https://www.econbiz.de/10000978781

Some reparameterizations of lag polynomials for dynamic analysis

Burke, Simon P. - In: Oxford bulletin of economics and statistics 58 (1996) 2, pp. 373-389

Persistent link: https://www.econbiz.de/10001201678

A taxonomy of certain unit root tests

Burke, Simon P. - 1993

Persistent link: https://www.econbiz.de/10000868756

Augmented Dickey-Fuller unit root tests and the use of information criteria

Burke, Simon P. - 1993

Persistent link: https://www.econbiz.de/10000868853

Unit root tests of the Phillips type with data dependent selection of the lag truncation parameter

Burke, Simon P. - 1993

Persistent link: https://www.econbiz.de/10000869171

An investigation of some small alternatives in autoregressive unit root testing with model selection

Burke, Simon P. - 1993

Persistent link: https://www.econbiz.de/10000877388

Modelling non-stationary economic time series : a multivariate approach

Burke, Simon P.; Hunter, John - 2005

Persistent link: https://www.econbiz.de/10001756493

Confirmatory data analysis : the joint application of stationarity and unit root tests

Burke, Simon P. - 1994

Persistent link: https://www.econbiz.de/10000891381

Arbitrage, Market Definition and Monitoring a Time Series Approach

Burke, Simon P. - 2012

This article considers the application to regional price data of time series methods to test stationarity, multivariate cointegration and exogeneity. The discovery of stationary price differentials in a bivariate setting implies that the series are rendered stationary by capturing a common trend...

Persistent link: https://www.econbiz.de/10013103776

Arbitrage, market definition and monitoring a time series approach

Burke, Simon P.; Hunter, John - 2012

Persistent link: https://www.econbiz.de/10009664471