A simple testing procedure for unit root and model specification

DOI10.1016/J.CSDA.2016.04.001MaRDI QIDQ1659023zbMATH OpenOpenAlexFDO

Authors Mauro Costantini, Amit Sen

Publication date 15 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.csda.2016.04.001

zbMATH Keywords

unit rootmodel mis-specificationtrend breakF-testlevel shiftbreak date

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Recommendations

• Testing for a unit root in time series regression
• 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?
• Unit root testing with slowly varying trends
• Testing for a unit root in a stationary ESTAR process
• Testing for a unit root in the presence of a possible break in trend

Cites work

• A joint test for structural stability and a unit root in autoregressions
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Further evidence on breaking trend functions in macroeconomic variables
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance
• Joint hypothesis specification for unit root tests with a structural break
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• New innovational outlier unit root test with a break at an unknown time
• On the asymptotic distribution of a simple unit root test for trending and breaking series
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit root tests in time series. Volume 1. Key concepts and problems
• Unit root tests in time series. Volume 2. Extensions and developments

Cited in

(2)

• The stylized approach to unit root testing: Neglected contributions and the cost of simplicity
• A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds

This page was built for publication: A simple testing procedure for unit root and model specification

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1659023)