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Point Optimal Tests for Testing the Order of Differencing in ARIMA Models

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  • Saikkonen, Pentti
  • Luukkonen, Ritva

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 9 (1993)
Issue (Month): 03 (June)
Pages: 343-362

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Handle: RePEc:cup:etheor:v:9:y:1993:i:03:p:343-362_00

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Cited by:
  1. Ai Deng & Pierre Perron, 2005. "A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2005-030, Boston University - Department of Economics.
  2. Tatsuma Wada & Pierre Perron, 2005. "Trend and Cycles: A New Approach and Explanations of Some Old Puzzles," Computing in Economics and Finance 2005, Society for Computational Economics 252, Society for Computational Economics.
  3. Noureddine Benlagha, 2013. "The Long-run Relationship among Index-linked Bonds and Conventional Bonds," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 15-24, February.
  4. Kuo, Biing-Shen & Mikkola, Anne, 1999. "Re-examining long-run purchasing power parity," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(2), pages 251-266, February.
  5. Pierre Perron & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2009-006, Boston University - Department of Economics, revised Feb 2009.
  6. James H. Stock & Mark W. Watson, 1996. "Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model," NBER Technical Working Papers 0201, National Bureau of Economic Research, Inc.
  7. Kurozumi, Eiji, 2005. "Construction of Stationarity Tests with Less Size Distortions," Discussion Papers 2005-12, Graduate School of Economics, Hitotsubashi University.
  8. Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc.
  9. Jakob Roland Munch & Michael Svarer, . "Mortality and Socio-economic Differences in a Competing Risks Model," Economics Working Papers, School of Economics and Management, University of Aarhus 2001-1, School of Economics and Management, University of Aarhus.
  10. Juhl, Ted, 2004. "A Lagrange multiplier stationarity test using covariates," Economics Letters, Elsevier, Elsevier, vol. 85(3), pages 321-326, December.
  11. Jansson, Michael, 2005. "Point optimal tests of the null hypothesis of cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 124(1), pages 187-201, January.
  12. Li, Hong, 2008. "Estimation and testing of Euler equation models with time-varying reduced-form coefficients," Journal of Econometrics, Elsevier, Elsevier, vol. 142(1), pages 425-448, January.

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