On the Dickey-Fuller test with white standard errors
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Publication:451360
DOI10.1007/s00362-007-0112-1zbMath1247.62219OpenAlexW2079136916MaRDI QIDQ451360
Publication date: 23 September 2012
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-007-0112-1
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)
Related Items (4)
Nonlinear IV panel unit root testing under structural breaks in the error variance ⋮ M-estimator based unit root tests in the ESTAR framework ⋮ Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept ⋮ The power of unit root tests against nonlinear local alternatives
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- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Recursive mean adjustment and tests for nonstationarities
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