Structural breaks, unit roots and methods for removing the autocorrelation pattern (Q1573272): Difference between revisions

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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
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+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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+Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
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+The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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+The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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+Testing for a unit root in time series regression
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+Testing for unit roots in autoregressive-moving average models of unknown order
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