Asymptotics of tests for a unit root in autoregression

DOI10.1016/S0378-3758(02)00317-8MaRDI QIDQ1866241zbMATH OpenOpenAlexFDO

Authors Kenji Sakiyama, Masanobu Taniguchi, Madan L. Puri

Publication date 3 April 2003

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-3758(02)00317-8

zbMATH Keywords

autoregressive modelgeneralized LSElocal asymptotic normalitylocal asymptotic optimalitynear integrated processtests for unit root

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST-ORDER AUTOREGRESSIVE PROCESS
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Linear Statistical Inference and its Applications
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Robust Rank Tests of the Unit Root Hypothesis
• Testing for unit roots in autoregressive-moving average models of unknown order
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression

Cited in

(17)

• On the asymptotic expectations of some unit root tests in a first order autoregressive process in the presence of trend
• The order of the error term for moments of the log likelihood ratio unit root test in an autoregressive process
• Nonstationary time series with a close alternative hypothesis: Locally asymptotic distribution of the likelihood ratio
• Higher-order sample autocorrelations and the unit root hypothesis
• The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(p) errors
• On the asymptotic distribution of the Dickey Fuller-GLS test statistic
• UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
• On the asymptotic distribution of a simple unit root test for trending and breaking series
• scientific article; zbMATH DE number 720757 (Why is no real title available?)
• Distribution approximation of unit root tests in autoregressive models
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE
• A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• A unified approach to testing for stationarity of unit roots
• Limiting power of unit-root tests in time-series regression
• Least squares estimators for unit root processes with locally stationary disturbance

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