Similar Search Results

Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume

Balboa, Marina; Rodrigues, Paulo M. M.; Rubia, Antonio; … - In: Journal of Applied Econometrics 36 (2021) 5, pp. 544-565

Persistent link: https://www.econbiz.de/10012632810

The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super-

Rodrigues, Paulo M. M.; Taylor, A. M. Robert - In: Oxford Bulletin of Economics and Statistics 74 (2012) 5, pp. 736-759

Persistent link: https://www.econbiz.de/10010596333

Alternative estimators and unit root tests for seasonal autoregressive processes

Rodrigues, Paulo M. M.; Taylor, A. M. Robert - In: Journal of Econometrics 120 (2004) 1, pp. 35-73

Persistent link: https://www.econbiz.de/10005228674

On Tests for Double Differencing: Some Extensions and the Role of Initial Values

Rodrigues, Paulo M. M.; Taylor, A. M. Robert - Centro de Estudios Andaluces, Government of Andalusia - 2003

In this paper we investigate the impact which starting values have upon the double differencing tests of Hasza and Fuller (1979, An. Stats.) and Sen and Dickey (1987, Jn.Bus.Ec.Stats.). We demonstrate that when bases on data which has been de-meaned, these tests are not exact similar to the...

Persistent link: https://www.econbiz.de/10005121313