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Limit theory for an explosive autoregressive process

Wang, XiaoHu; Yu, Jun - In: Economics letters 126 (2015), pp. 176-180

Persistent link: https://www.econbiz.de/10011377248

On testing for bubbles during hyperinflations

Morita, Rubens; Psaradakis, Zacharias G.; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10014506885

Tests for an end-of-sample bubble in financial time series

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Econometric reviews 36 (2017) 6/9, pp. 651-666

Persistent link: https://www.econbiz.de/10011795312

Bootstrapping noncausal autoregressions : with applications to explosive bubble modeling

Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 55-67

Persistent link: https://www.econbiz.de/10012179509

Testing the weak-form efficiency of agriculture's capital markets

Ghimire, Binam; Annussek, Kolja; Harvey, Jackie; … - In: Economics and business review 2 (2016) 2, pp. 3-17

Persistent link: https://www.econbiz.de/10011535203

Testing for explosive bubbles in the presence of autocorrelated innovations

Pedersen, Thomas Quistgaard; Montes Schütte, Erik Christian - In: Journal of empirical finance 58 (2020), pp. 207-225

Persistent link: https://www.econbiz.de/10012430675

ARFURIMA models: simulations of their properties and application

Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 69-87

This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...

Persistent link: https://www.econbiz.de/10013419429

Detecting seasonal unit roots : an approach based on the sample autocorrelation function

Taylor, Robert; Leybourne, Stephen James - In: The Manchester School 67 (1999) 3, pp. 261-286

Persistent link: https://www.econbiz.de/10001405343

Nonlinear persistence and copersistence

Gouriéroux, Christian; Jasiak, Joann - 1999

Persistent link: https://www.econbiz.de/10001485343

A lagged dependent variable, autocorrelated disturbances, and unit root tests - peculiar OLS bias properties - a pedagogical note

Maeshiro, Asatoshi - In: Applied economics 31 (1999) 3, pp. 381-396

Persistent link: https://www.econbiz.de/10001364531