Properties of tests for mis-specification in non-stationary autoregressions
<p>We are interested in the stochastic properties, individual and joint, of mis- specification testing when the data are generated by an autoregressive process. Good mis-specification tests are invariant to the dynamic properties of the pro- cess summarized by its characteristic roots, and to...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2012
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| Subjects: |