A critique of the application of unit root tests
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Recommendations
- A comparison of alternative unit root tests
- On the stability of the unit root test
- A robust and practical method of unit root tests
- The stylized approach to unit root testing: Neglected contributions and the cost of simplicity
- Unit root tests and heavy-tailed innovations
- A new approach to unit root testing
- On testing for unit roots and the initial observation
Cites work
- scientific article; zbMATH DE number 4060924 (Why is no real title available?)
- Are output fluctuations transitory?
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Multivariate estimates of the permanent components of GNP and stock prices
- Spurious Periodicity in Inappropriately Detrended Time Series
- Testing for Common Trends
- Testing for cointegration using principal components methods
- Testing for unit roots in autoregressive-moving average models of unknown order
- Time Series Regression with a Unit Root
Cited in
(17)- Structural change and unit roots
- Estimating and testing rational expectations models when the trend specification is uncertain.
- scientific article; zbMATH DE number 7578299 (Why is no real title available?)
- The stylized approach to unit root testing: Neglected contributions and the cost of simplicity
- UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
- Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- Exploiting ergodicity in forecasts of corporate profitability
- Unit root test combination via random forests
- Business cycle analysis without much theory: A look at structural VARs
- Spectral approach to parameter-free unit root testing
- No unit root conditions for bivariate series when a component univariate series has a unit root
- A time series paradox: unit root tests perform poorly when data are cointegrated
- On unit root tests in the presence of transitional growth
- Asset prices with non-permanent shocks to consumption
- Are taxes too low?
- Tapered block bootstrap for unit root testing
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