Testing the Box-Cox Parameter for an Integrated Process
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Other versions of this item:
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2010. "Testing the Box-Cox Parameter for an Integrated Process," KIER Working Papers 750, Kyoto University, Institute of Economic Research.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2010. "Testing the Box-Cox Parameter for an Integrated Process," Working Papers in Economics 10/77, University of Canterbury, Department of Economics and Finance.
- Huang, J. & Kobayashi, M. & McAleer, M.J., 2011. "Testing the Box-Cox Parameter for an Integrated Process," Econometric Institute Research Papers EI 2010-77, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
References listed on IDEAS
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More about this item
KeywordsBox-Cox transformation; Brownian Motion; Constant Elasticity of Volatility; Mean Reversion; Nonstandard distribution.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-02 (All new papers)
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