Dealing with the initial observation in the LM unit root test

DOI10.1080/03610918.2014.950747MaRDI QIDQ2828776zbMATH OpenOpenAlexFDO

Authors Hyejin Lee, Dong-Yop Oh

Publication date 26 October 2016

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

Full work available at URL https://doi.org/10.1080/03610918.2014.950747

zbMATH Keywords

CDF of normal distributioninitial conditionLM unit root test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Power of a Unit-Root Test and the Initial Condition
• On testing for unit roots and the initial observation
• Tests for Unit Roots and the Initial Condition
• The impact of the initial condition on covariate augmented unit root tests
• Minimizing the impact of the initial condition on testing for unit roots

Cites work

• Efficient Tests for an Autoregressive Unit Root
• Minimizing the impact of the initial condition on testing for unit roots
• On testing for unit roots and the initial observation
• Testing for nonlinear deterministic components when the order of integration is unknown
• Testing for unit roots in the presence of uncertainty over both the trend and initial condition
• Tests for Unit Roots and the Initial Condition
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

Cited in

(2)

• Reconsidering LM unit root testing
• On testing for unit roots and the initial observation

This page was built for publication: Dealing with the initial observation in the LM unit root test

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2828776)