TESTING FOR A UNIT-ROOT NONSTATIONARITY IN MULTIVARIATE AUTOREGRESSIVE TIME-SERIES

[1] BOX GEP, 1977, BIOMETRIKA, V64, P355, DOI 10.1093/biomet/64.2.355

[2] CHN N, 1988, ANN STAT, V16, P367

[3] Dickey D. A, 1976, THESIS IOWA STATE U

[4] DICKEY DA, 1979, J AM STAT ASSOC, V74, P423

[5] FOUNTIS NG, 1983, THESIS N CAROLINA ST

[6] FULLER WA, 1976, INTRO STATISTICAL TI

[7] Granger CWJ, 1983, STUDIES ECONOMETRICS, P255, DOI DOI 10.1016/B978-0-12-398750-1.50018-8

[8] Lai T., 1985, MULTIVARIATE ANAL, VVI, P375

[9] CONSISTENCY PROPERTIES OF LEAST-SQUARES ESTIMATES OF AUTOREGRESSIVE PARAMETERS IN ARMA MODELS [J]. ANNALS OF STATISTICS, 1983, 11 (03) : 856 - 871

[10] THE LIMITING DISTRIBUTION OF THE SERIAL-CORRELATION COEFFICIENT IN THE EXPLOSIVE CASE [J]. ANNALS OF MATHEMATICAL STATISTICS, 1958, 29 (04): : 1188 - 1197

[1] BOX GEP, 1977, BIOMETRIKA, V64, P355, DOI 10.1093/biomet/64.2.355

[2] CHN N, 1988, ANN STAT, V16, P367

[3] Dickey D. A, 1976, THESIS IOWA STATE U

[4] DICKEY DA, 1979, J AM STAT ASSOC, V74, P423

[5] FOUNTIS NG, 1983, THESIS N CAROLINA ST

[6] FULLER WA, 1976, INTRO STATISTICAL TI

[7] Granger CWJ, 1983, STUDIES ECONOMETRICS, P255, DOI DOI 10.1016/B978-0-12-398750-1.50018-8

[8] Lai T., 1985, MULTIVARIATE ANAL, VVI, P375

[9] CONSISTENCY PROPERTIES OF LEAST-SQUARES ESTIMATES OF AUTOREGRESSIVE PARAMETERS IN ARMA MODELS [J]. ANNALS OF STATISTICS, 1983, 11 (03) : 856 - 871

[10] THE LIMITING DISTRIBUTION OF THE SERIAL-CORRELATION COEFFICIENT IN THE EXPLOSIVE CASE [J]. ANNALS OF MATHEMATICAL STATISTICS, 1958, 29 (04): : 1188 - 1197