A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data
Year of publication: |
2016
|
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Authors: | Smallwood, Aaron D. |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 5/7, p. 986-1012
|
Subject: | Long memory | Misspecification | Nonlinearity | Structural breaks | Unit root tests | Strukturbruch | Structural break | Einheitswurzeltest | Unit root test | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation | Nichtlineare Regression | Nonlinear regression |
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