Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type (Q1351232): Difference between revisions

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-Simon P. Burke
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+Simon P. Burke
@@ Property / author: Simon P. Burke / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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@@ Property / cites work @@
+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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@@ Property / cites work @@
+Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
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@@ Property / cites work @@
+Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
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+Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter
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@@ Property / cites work @@
+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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@@ Property / cites work @@
+Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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@@ Property / cites work @@
+Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
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@@ Property / cites work @@
+Time Series Regression with a Unit Root
@@ Property / cites work: Time Series Regression with a Unit Root / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for a unit root in time series regression
@@ Property / cites work: Testing for a unit root in time series regression / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/0165-1765(95)00758-x
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+W2053383746
@@ Property / OpenAlex ID: W2053383746 / rank @@
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+Publication:1351232