A Detrended Range Unit Root (DRUR) Test

DOI10.1080/03610918.2012.732172MaRDI QIDQ5418871zbMATH OpenOpenAlexFDO

Authors Andreu Sanso, Clara Simón, Ana E. Sipols

Publication date 30 May 2014

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2012.732172

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Detrending bootstrap unit root tests
• Unit root testing
• Ratio tests of a unit root
• Testing the unit root hypothesis using generalized range statistics
• Testing for a unit root in time series regression
• A robust and practical method of unit root tests
• Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers

Cites work

• Are Asian real exchange rates stationary?
• Efficient Tests for an Autoregressive Unit Root
• Extremal theory for stochastic processes
• Introduction to the Mathematical and Satistical Foundations of Econometrics
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
• Testing for a unit root in time series regression

Cited in

(2)

• Records Properties of Non Stationary Time Series
• Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers

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