ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS

DOI10.1111/J.1467-9892.1995.TB00243.XMaRDI QIDQ4855269zbMATH OpenOpenAlexFDO

Authors Heon Jin Park, Wayne A. Fuller

Publication date 13 December 1995

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1995.tb00243.x

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• On the Theory of Testing for Unit Roots in Observed Time Series
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Testing for Unit Roots in Seasonal Time Series

Cited in

(26)

• Semiparametric unit root tests based on symmetric estimators
• Size and power properties of powerful unit root tests in the presence of variance breaks
• A pair-wise approach to testing for output and growth convergence
• Response surface models for the Leybourne unit root tests and lag order dependence
• The robustness of modified unit root tests in the presence of GARCH
• Efficient tests for unit roots with prediction errors
• Nearly weighted risk minimal unbiased estimation
• Implementing unit roost tests in ARMA models of unknown order
• The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
• Uniform asymptotic normality in stationary and unit root autoregression
• Approximate ML and REML estimation for regression models with spatial or time series AR(1) noise.
• Modified unit root tests and momentum threshold autoregressive processes.
• Finite-sample properties of modified unit root tests in the presence of structural change.
• Localized level crossing random walk test robust to the presence of structural breaks
• Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests
• Estimating break points in a time series regression with structural changes
• On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root
• The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study
• UNIT ROOT TESTS WITH WAVELETS
• A momentum-threshold autoregressive unit root test with increased power
• A new estimator for the unit root
• Alternative estimators and unit root tests for seasonal autoregressive processes
• Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
• A sequential procedure for testing the existence of a random walk model in finite samples
• Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power
• A weighted symmetric cointegration test

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