Unit root testing (Q862778)

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scientific article

Language	Label	Description	Also known as
English	Unit root testing	scientific article

Statements

scholarly article

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Unit root testing (English)

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zbMATH Open document ID

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10.1007/s10182-006-0220-6

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Jürgen Wolters

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AStA. Allgemeines Statistisches Archiv

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publication date

24 January 2007

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

Dickey-Fuller

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size and power

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deterministic components

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structural breaks

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10182-006-0220-6

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Unit root tests in the presence of uncertainty about the non-stochastic trend

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A Note on Trend Removal Methods: The Case of Polynomial Regression versus Variate Differencing

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ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS

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Effect of neglected deterministic seasonality on unit root tests

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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Trends versus Random Walks in Time Series Analysis

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Efficient Tests for an Autoregressive Unit Root

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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Testing For Unit Roots: 1

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Testing for Unit Roots: 2

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RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES

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Spurious regressions in econometrics

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On the power of unit root tests against fractional alternatives

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Alternative methods of detrending and the power of unit root tests

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Seasonal integration and cointegration

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Unit‐root testing against the alternative hypothesis of up to <i>m</i> structural breaks

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Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification

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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?

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Comparison of unit root tests for time series with level shifts

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Examination of Some More Powerful Modifications of the Dickey–Fuller Test

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Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

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Unit roots and smooth transitions

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Testing the constancy of regression parameters against continuous structural change

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Testing the autoregressive parameter with the t statistic

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Spurious Periodicity in Inappropriately Detrended Time Series

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Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power

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Trends and random walks in macroeconomic time series

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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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Understanding spurious regressions in econometrics

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Time Series Regression with a Unit Root

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Towards a unified asymptotic theory for autoregression

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Testing for a unit root in time series regression

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Testing for unit roots in autoregressive-moving average models of unknown order

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Hypothesis Testing in ARIMA(p, 1, q) Models

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Testing for unit roots in time series with level shifts

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TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME

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Testing the random walk hypothesis: power versus frequency of observation

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recursive Mean Adjustment for Unit Root Tests

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A note on the power of least squares tests for a unit root

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Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data

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An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy

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Sitelinks

Mathematics(1 entry)

mardi Publication:862778

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