Correlograms for non-stationary autoregressions
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- Katarina Juselius & Zorica Mladenovic, 2002.
"High Inflation, Hyperinflation and Explosive Roots: The Case of Yugoslavia,"
02-23, University of Copenhagen. Department of Economics.
Full references (including those not matched with items on IDEAS)
- B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
- Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013.
"Nelson–Plosser revisited: The ACF approach,"
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Elsevier, vol. 175(1), pages 22-34.
- Karim Abadir & Giovanni Caggiano & Gabriel Talmain, 2005. "Nelson-Plosser Revisited: the ACF Approach," Working Papers 2005_7, Business School - Economics, University of Glasgow.
- Karim M. Abadir & Gabriel Talmain & Giovanni Caggiano, 2008. "Nelson-Plosser revisited: the ACF approach," Working Paper series 18_08, Rimini Centre for Economic Analysis.
- E ric E ngler & B ent N ielsen, 2009. "The empirical process of autoregressive residuals," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 367-381, July.
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- Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
- NEP-ALL-2003-04-09 (All new papers)
- NEP-ECM-2003-04-12 (Econometrics)
- NEP-ETS-2003-04-09 (Econometric Time Series)
- NEP-RMG-2003-04-09 (Risk Management)
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Keywordscorrelogram; covariogram; non-stationary;
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