GLS detrending and unit root testing

DOI10.1016/J.ECONLET.2007.03.016MaRDI QIDQ1934175zbMATH OpenOpenAlexFDO

Authors Dimitrios V. Vougas

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2007.03.016

zbMATH Keywords

powerautoregressive estimator

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• GLS detrending, efficient unit root tests and structural change.
• GLS-based unit root tests for bounded processes
• A finite-sample sensitivity analysis of the Dickey–Fuller test under local-to-unity detrending
• The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
• Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples

Cites work

• scientific article; zbMATH DE number 45973 (Why is no real title available?)
• scientific article; zbMATH DE number 3401978 (Why is no real title available?)
• scientific article; zbMATH DE number 3059918 (Why is no real title available?)
• A modification of the Schmidt-Phillips unit root test
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Estimating the autocorrelated error model with trended data
• Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
• Finite Sample Econometrics
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Trends versus Random Walks in Time Series Analysis

Cited in

(8)

• GLS-based unit root tests for bounded processes
• 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
• A new approach to unit root testing
• GLS detrending, efficient unit root tests and structural change.
• Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
• A finite-sample sensitivity analysis of the Dickey–Fuller test under local-to-unity detrending
• Unit root testing based on BLUS residuals

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