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Is integration I(d) applicable to observed economics and finance time series?

McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: International review of financial analysis 18 (2009) 3, pp. 101-108

Persistent link: https://www.econbiz.de/10003880011

Testing for deterministic and stochastic cycles in macroeconomic time series

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Empirica : journal of european economics 34 (2007) 2, pp. 155-169

Persistent link: https://www.econbiz.de/10003441948

Tests for cointegration rank and choice of the alternative

Cavaliere, Giuseppe; Fanelli, Luca; Paruolo, Paolo - In: Statistical methods & applications : SMA ; journal of … 18 (2009) 2, pp. 169-191

Persistent link: https://www.econbiz.de/10003858175

Statistical inference in possibly integrated cointegrated vector autoregressions : application to testing for structural changes

Kurozumi, Eiji; Dashtseren, Khashbaatar - 2011

Persistent link: https://www.econbiz.de/10009238562

Testing stochastic cycles in macroeconomic time series

Gil-Alaña, Luis A. - 2000

A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the...

Persistent link: https://www.econbiz.de/10009611541