Integration Versus Trend Stationary in Time Series

DOI10.2307/2951602MaRDI QIDQ4006272zbMATH OpenOpenAlexFDO

Authors David N. DeJong, John C. Nankervis, N. E. Savin, Charles H. Whiteman

Publication date 26 September 1992

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2951602

zbMATH Keywords

finite sample powersfirst-order autoregressive processi.i.d. normal innovationsintegration testslinear trendmacroeconomic time seriestime seriestrend-stationarity tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited in

(30)

• A modification of the Schmidt-Phillips unit root test
• Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
• Testing the null of stationarity for multiple time series
• Is there a unit root in U.S. real GNP?
• Nonconvexities, labor hoarding, technology shocks, and procyclical productivity. A structural econometric analysis
• Near-integration and deterministic trends
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Business cycle analysis without much theory: A look at structural VARs
• Asset prices with non-permanent shocks to consumption
• Spectral approach to parameter-free unit root testing
• Tests for cointegration. A Monte Carlo comparison
• Unit root tests in the presence of uncertainty about the non-stochastic trend
• Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
• Reconsidering the international comovement of inflation
• Estimating deterministic trends with an integrated or stationary noise component
• The available information for invariant tests of a unit root
• Testing for unit root processes in random coefficient autoregressive models
• Testing for a unit root in a near-integrated model with skip-sampled data
• Testing for mild explosivity and bubbles in LME non-ferrous metals prices
• Constructing Optimal tests on a Lagged dependent variable
• Conditional Information in Projections of Gaussian Vectors
• RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
• A test of the null of integer integration against the alternative of fractional integration
• scientific article; zbMATH DE number 7578299 (Why is no real title available?)
• A strongly consistent criterion to decide between I(1) and I(0) processes based on different convergence rates
• Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
• Unit root test combination via random forests
• Testing for the extent of instability in nearly unstable processes
• 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?
• The role of storage in commodity markets: indirect inference based on grain data

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