TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS
Author:
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Reference46 articles.
1. Joint Estimation of Model Parameters and Outlier Effects in Time Series
2. A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
3. Unit Root Tests under Time-Varying Variances
4. Testing for a Unit Root in a Time Series with a Changing Mean
5. Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
Cited by 11 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Cointegration Rank Estimation for High-Dimensional Time Series With Breaks;Statistica Sinica;2023
2. Application of auto-regressive (AR) analysis to improve short-term prediction of water levels in the Yangtze estuary;Journal of Hydrology;2020-11
3. Electric Load Forecast Using Combined Models with HP Filter-SARIMA and ARMAX Optimized by Regression Analysis Algorithm;Mathematical Problems in Engineering;2015
4. Unit Root Tests in the Presence of Multi-Variance Break and Level Shifts That Have Power Against the Piecewise Stationary Alternative;Communications in Statistics - Simulation and Computation;2014-12-10
5. Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions;Econometric Reviews;2014-09-25
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3