Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests
Author:
Funder
Sung-Gok Research and Culture Foundation
Kookmin University
Publisher
Elsevier BV
Subject
Economics and Econometrics
Reference34 articles.
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1. Testing for random coefficient autoregressive and stochastic unit root models;Studies in Nonlinear Dynamics & Econometrics;2020-12-07
2. Testing for Random Coefficient Autoregressive and Stochastic Unit Root Models;SSRN Electronic Journal;2019
3. Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR;Econometrics and Statistics;2018-07
4. An efficiency Bayesian unit root test in Unobserved-ARCH models;Communications in Statistics - Simulation and Computation;2017-02-03
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