A test for second order stationarity of a multivariate time series-Reference-Cited by-同舟云学术

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A test for second order stationarity of a multivariate time series

Published:2015-03 Issue:1 Volume:185 Page:124-161
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Jentsch Carsten,Subba Rao Suhasini

Funder

German Research Foundation (DFG)

German Academic Exchange Service (DAAD)

NSF

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference60 articles.

1. Determining the bandwidth of a kernel spectrum estimate;Beltrao;J. Time Ser. Anal.,1987

2. Probability and Measure;Billingsley,1995

3. Periodic correlation in stratospheric data;Bloomfield;J. Time Ser. Anal.,1994

4. Bousamma, F., 1998. Ergodicité, mélange et estimation dans les modèles GARCH (Unpublished Doctoral Dissertation), Paris 7.

5. Time Series, Data Analysis and Theory;Brillinger,1981

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