Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series
Year of publication: |
2002-11
|
---|---|
Authors: | Müller, Ulrich K. |
Institutions: | School of Economics and Political Science, Universität St. Gallen |
Subject: | Tests for stationarity | local-to-unity asymptotics | long-run variance estimation | mean reversion |
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