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Testing the null hypothesis of stationarity against the alternative of a unit root : how sure are we that economic time series have a unit root?
Kwiatkowski, Denis E.; Phillips, Peter C. B.; Schmidt, Peter - 1991
Persistent link: https://www.econbiz.de/10000828125
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A note on the normalized residuals from ARCH and stochastic volatility models
Nelson, Daniel B. - 1990 - Rev
Persistent link: https://www.econbiz.de/10000809491
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Estimation of continuous-time models in finance
Melino, Angelo - 1991
Persistent link: https://www.econbiz.de/10000815348
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On estimating a dynamic function of a stochastic system with averaging
Liptser, R.; Spokojnyj, Vladimir G. - 1998
Persistent link: https://www.econbiz.de/10000168629
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The decomposition of economic time series : a deterministic and stochastic approach
Pauly, Ralf; Schlicht, Ekkehart - 1982
Persistent link: https://www.econbiz.de/10000072809
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Dynamic model analysis : advanced matrix methods and unit root econometrics representation theorems
Faliva, Mario; Zoia, Maria Grazia - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003744397
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A unified approach to testing for stationarity and unit roots
Harvey, Andrew C. - In: Identification and inference for econometric models : …, (pp. 403-425). 2005
Persistent link: https://www.econbiz.de/10003352588
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On the estimation of fractionally integrated processes
Nielsen, Frank S. - 2009
Persistent link: https://www.econbiz.de/10003839270
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A meta-distribution for non-stationary samples
Guégan, Dominique - 2009
Persistent link: https://www.econbiz.de/10003849558
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Asymptotics for cointegrated processes with infrequent stochastic level shifts and outliers
Georgiev, Iliyan - In: Econometric theory 24 (2008) 3, pp. 587-615
Persistent link: https://www.econbiz.de/10003894270