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Tests for stationarity of a time series

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  • Christopher F. Baum

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File URL: http://stata-press.com/journals/stbcontents/stb57.pdf
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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Technical Bulletin.

Volume (Year): 10 (2001)
Issue (Month): 57 ()
Pages:

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Handle: RePEc:tsj:stbull:y:2001:v:10:i:57:sts15

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Web page: http://stata-press.com/journals/stbj.html

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References

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  1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
  2. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
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Cited by:
  1. L.A. Gil-Alana, 2003. "Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses," Computational Economics, Society for Computational Economics, vol. 22(1), pages 23-38, August.
  2. di Cosmo, Valeria & Malaguzzi Valeri, Laura, 2012. "The Incentive to Invest in Thermal Plants in the Presence of Wind Generation," Papers WP446, Economic and Social Research Institute (ESRI).
  3. Christopher F. Baum, 2004. "Stata: The language of choice for time series analysis?," Boston College Working Papers in Economics 598, Boston College Department of Economics.
  4. Christopher F Baum, 2002. "Facilitating Applied Economic Research with Stata," Boston College Working Papers in Economics 531, Boston College Department of Economics.
  5. Roberto Martinez Espineira, 2004. "An Estimation of Residential Water Demand Using Co-integration and Error Correction Techniques," Others 0410002, EconWPA.
  6. Christopher F. Baum, 2004. "Topics in time series regression modeling," United Kingdom Stata Users' Group Meetings 2004 7, Stata Users Group, revised 26 Jul 2004.

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