Computation of limiting distributions in stationarity testing with a generic trend

Springer Science and Business Media LLC - Tập 71 - Trang 165-183 - 2009
María José Presno1, Manuel Landajo1
1Unit of Statistics and Econometrics, Department of Applied Economics, University of Oviedo, Oviedo, Spain

Tóm tắt

The asymptotic null distribution of the Lagrange Multiplier stationarity test, and analytical expressions for the limiting characteristic functions, are derived for a number of time series models which include a piecewise continuous deterministic trend. Some case studies illustrate the performance of the method.

Tài liệu tham khảo

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