Testing for Drift in a Time Series
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More about this item
KeywordsCramér-von Mises distribution; locally best invariant test; stochastic trend; unit root; unobserved components;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-12-09 (All new papers)
- NEP-ECM-2002-12-11 (Econometrics)
- NEP-ETS-2002-12-09 (Econometric Time Series)
- NEP-RMG-2002-12-09 (Risk Management)
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