GLS-based unit root tests for bounded processes
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Recommendations
- GLS detrending and unit root testing
- GLS detrending, efficient unit root tests and structural change.
- The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
- A finite-sample sensitivity analysis of the Dickey–Fuller test under local-to-unity detrending
- Testing for unit roots in bounded time series
Cites work
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Automatic Lag Selection in Covariance Matrix Estimation
- Efficient Tests for an Autoregressive Unit Root
- GLS detrending, efficient unit root tests and structural change.
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- LIMITED TIME SERIES WITH A UNIT ROOT
- Testing for unit roots in bounded time series
Cited in
(8)- GLS detrending and unit root testing
- Bounded unit root processes with non-stationary volatility
- The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
- On the asymptotic distribution of the Dickey Fuller-GLS test statistic
- GLS detrending, efficient unit root tests and structural change.
- Bounds, breaks and unit root tests
- Regulated seasonal unit root process
- A finite-sample sensitivity analysis of the Dickey–Fuller test under local-to-unity detrending
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