Wavelet energy ratio unit root tests
Year of publication: |
2019
|
---|---|
Authors: | Trokić, Mirza |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 38.2019, 1, p. 69-94
|
Subject: | Fractional Brownian motion | fractional integration | hypothesis test | size distortion | statistical power | time series | unit root | variance ratio statistic | wavelet energy ratio | wavelets | wavestrapping | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Einheitswurzeltest | Unit root test | Statistischer Test | Statistical test |
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