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Testing for a Unit Root

Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry

in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Published in print:
1993
Published Online:
November 2003
ISBN:
9780198288107
eISBN:
9780191595899
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198288107.003.0004
Subject:
Economics and Finance, Econometrics

Methods of testing for a unit root in an observed series are described in this chapter. Both parametric regression tests and non‐parametric adjustments to these test statistics are considered, and ... More


Non-Linear Cointegration in Foreign Exchange

Bernt P. Stigum

in Econometrics in a Formal Science of Economics: Theory and the Measurement of Economic Relations

Published in print:
2014
Published Online:
September 2015
ISBN:
9780262028585
eISBN:
9780262323109
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028585.003.0008
Subject:
Economics and Finance, Econometrics

Chapter VIII presents a novel mathematical theory of non-linear cointegration among second-order random processes. It begins by explaining why the accepted characterization of integrated second-order ... More


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