UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

DOI10.1017/S026646660809018XzbMath1253.62060MaRDI QIDQ3181939

A. M. Robert Taylor, David I. Harvey, Stephen J. Leybourne

Publication date: 30 September 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (48)

Cointegration in large VARs ⋮ Spectral approach to parameter-free unit root testing ⋮ A Gini-based unit root test ⋮ Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility ⋮ Detrending Bootstrap Unit Root Tests ⋮ The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study ⋮ A simple proposal to improve the power of income convergence tests ⋮ Multiple unit root tests under uncertainty over the initial condition: some powerful modifications ⋮ Johansen‐type cointegration tests with a Fourier function ⋮ Stochastic local and moderate departures from a unit root and its application to unit root testing ⋮ Recursive adjustment for general deterministic components and improved cointegration rank tests ⋮ The impact of the initial condition on covariate augmented unit root tests ⋮ On trend breaks and initial condition in unit root testing ⋮ Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends ⋮ Testing for a unit root against ESTAR stationarity ⋮ A random forest-based approach to combining and ranking seasonality tests ⋮ Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures ⋮ Alternative unit root testing strategies using the Fourier approximation ⋮ Point optimal testing with roots that are functionally local to unity ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices ⋮ Testing for unit roots in the presence of uncertainty over both the trend and initial condition ⋮ Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility ⋮ Asymptotic behaviour of tests for a unit root against an explosive alternative ⋮ Robust methods for detecting multiple level breaks in autocorrelated time series ⋮ Unit root test combination via random forests ⋮ Unit root testing under a local break in trend ⋮ Recursive adjusted unit root tests under non-stationary volatility ⋮ On the Use of GLS Demeaning in Panel Unit Root Testing ⋮ Bonferroni Type Tests for Return Predictability and the Initial Condition ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY ⋮ Dealing with the Initial Observation in the LM Unit Root Test ⋮ BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY ⋮ The impact of the initial condition on robust tests for a linear trend ⋮ TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND ⋮ THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS ⋮ UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST ⋮ Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term ⋮ The power of unit root tests against nonlinear local alternatives ⋮ Recursive adjustment, unit root tests and structural breaks ⋮ Combining non-cointegration tests ⋮ The asymptotic size and power of the augmented Dickey–Fuller test for a unit root ⋮ Testing explosive bubbles with time-varying volatility ⋮ Pooled Panel Unit Root Tests and the Effect of Past Initialization ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions ⋮ Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances ⋮ Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming

Cites Work

• Unnamed Item
• A simple, robust and powerful test of the trend hypothesis
• Minimizing the impact of the initial condition on testing for unit roots
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Asymptotics for linear processes
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Unit root tests in the presence of uncertainty about the non-stochastic trend
• THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT
• Power of a Unit-Root Test and the Initial Condition
• Testing for unit roots in autoregressive-moving average models of unknown order
• On the Theory of Testing for Unit Roots in Observed Time Series
• Testing for a unit root in time series regression
• Asymptotic Normality, When Regressors Have a Unit Root
• Towards a unified asymptotic theory for autoregression
• Automatic Lag Selection in Covariance Matrix Estimation
• An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• New Tools for Understanding Spurious Regressions
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Time Series Regression with a Unit Root
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition
• On testing for unit roots and the initial observation

This page was built for publication: UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION