Properties of tests for mis-specification in non-stationary autoregressions

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...

书目详细资料
Main Authors:	Sohkanen, J, Jouni Sohkanen
其他作者:	Nielsen, B
格式:	Thesis
语言:	English
出版:	2012
主题:	Econometrics

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