Articles with "tests unit" as a keyword



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Portmanteau-type tests for unit-root and cointegration

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Published in 2018 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2018.08.004

Abstract: This paper proposes a new portmanteau-type statistic by combining several lags of the sample autocorrelations to test for the presence of a unit-root of an autoregressive model. The proposed method is nonparametric in nature, which… read more here.

Keywords: type tests; tests unit; cointegration; unit root ... See more keywords