Size and power of tests of stationarity in highly autocorrelated time series (Q265023): Difference between revisions

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+W3121217699
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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+Asymptotic inference for nearly nonstationary AR(1) processes
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+Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
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+Confidence intervals for autoregressive coefficients near one
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+Efficient Tests for an Autoregressive Unit Root
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+Generalizations of the KPSS‐test for stationarity
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+HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING  BANDWIDTH EQUAL TO SAMPLE SIZE
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+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
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+On the power of stationarity tests using optimal bandwidth estimates
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+Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
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+Tests for Unit Roots and the Initial Condition
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+Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
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+A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors
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+Testing for the Constancy of Parameters Over Time
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+Asymptotic approximations in the near‐integrated model with a non‐zero initial condition
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+Towards a unified asymptotic theory for autoregression
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+Testing for a unit root in time series regression
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