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- Q22666683 subject Q7597810.
- Q22666683 subject Q8398280.
- Q22666683 subject Q8817226.
- Q22666683 abstract "In statistics and econometrics, the ADF-GLS test (or DF-GLS test) is a test for a unit root in an economic time series sample. It was developed by Elliott, Rothenberg and Stock (ERS) in 1992 as a modification of the augmented Dickey–Fuller test (ADF).A unit root test determines whether a time series variable is non-stationary using an autoregressive model. For series featuring deterministic components in the form of a constant or a linear trend then ERS developed an asymptotically point optimal test to detect a unit root. This testing procedure dominates other existing unit root tests in terms of power. It locally de-trends (de-means) data series to efficiently estimate the deterministic parameters of the series, and use the transformed data to perform a usual ADF unit root test. This procedure helps to remove the means and linear trends for series that are not far from the non-stationary region.".
- Q22666683 wikiPageExternalLink abstract.
- Q22666683 wikiPageWikiLink Q10380929.
- Q22666683 wikiPageWikiLink Q12483.
- Q22666683 wikiPageWikiLink Q1307899.
- Q22666683 wikiPageWikiLink Q160039.
- Q22666683 wikiPageWikiLink Q186588.
- Q22666683 wikiPageWikiLink Q7597810.
- Q22666683 wikiPageWikiLink Q8398280.
- Q22666683 wikiPageWikiLink Q8817226.
- Q22666683 comment "In statistics and econometrics, the ADF-GLS test (or DF-GLS test) is a test for a unit root in an economic time series sample. It was developed by Elliott, Rothenberg and Stock (ERS) in 1992 as a modification of the augmented Dickey–Fuller test (ADF).A unit root test determines whether a time series variable is non-stationary using an autoregressive model.".
- Q22666683 label "ADF-GLS test".