Testing Long-Run Properties of Stationary Time Series

Allan Gregory and Michael J Sampson

Journal of Business & Economic Statistics, 1991, vol. 9, issue 3, 287-95

Abstract: In this article, a Wald test is developed for testing long-run properties of stationary time series. The authors specialize the test and consider testing the long-run independence of two time series. They examine two applications of the test for long-run independence.

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:9:y:1991:i:3:p:287-95

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