Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative

DOI10.1111/1467-9892.00213zbMath0967.91068OpenAlexW2005791816MaRDI QIDQ2722253

Zhijie Xiao

Publication date: 11 July 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00213

zbMATH Keywords

consistencyBrownian motionstationarityintegrated processunit root testmacroeconomic time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Economic time series analysis (91B84) Brownian motion (60J65)

Related Items (13)

Quantile cointegrating regression ⋮ Local asymptotic powers of nonparametric and semiparametric tests for fractional integration ⋮ Long memory and stochastic trend. ⋮ A comparison of two modified stationarity tests. A Monte Carlo study ⋮ Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ Robust inference in nonstationary time series models ⋮ Testing Covariance Stationarity ⋮ STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS ⋮ ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES ⋮ Local Asymptotic Distributions of Stationarity Tests ⋮ A CUSUM test for cointegration using regression residuals ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS

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