Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.

DOI10.1016/S0167-7152(02)00280-8zbMath1092.62582OpenAlexW2044189726MaRDI QIDQ1871315

Steven Cook

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00280-8

zbMATH Keywords

Monte CarloUnit root testRecursive mean adjustmentStructural breaksmethods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks ⋮ Properties of recursive trend-adjusted unit root tests ⋮ Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures ⋮ Finite-sample properties of modified unit root tests in the presence of structural change. ⋮ Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests ⋮ On the finite-sample size distortion of smooth transition unit root tests ⋮ Using panel data to increase the power of modified unit root tests in the presence of structural breaks ⋮ Size distortion of asymmetric unit root tests in the presence of level shifts ⋮ Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power

Cites Work

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• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• recursive Mean Adjustment for Unit Root Tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Bias of Autoregressive Coefficient Estimators
• Testing For and Dating Common Breaks in Multivariate Time Series
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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