Lag optimisation and finite-sample size distortion of unit root tests

DOI10.1016/J.ECONLET.2004.02.010MaRDI QIDQ1927551zbMATH OpenOpenAlexFDO

Authors Steven Cook, Neil Manning

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2004.02.010

Mathematics Subject Classification ID

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

Recommendations

• On the finite-sample size distortion of smooth transition unit root tests
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Lag length selection for unit root tests in the presence of nonstationary volatility
• Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests
• The finite-sample performance of robust unit root tests
• Lag length selection in DF-GLS unit root tests
• Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
• Distribution approximation of unit root tests in autoregressive models
• The limiting distributions of unit-root tests for data with cross-sectional and time-series dimensions

Cites work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(9)

• Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
• On the finite-sample size distortion of smooth transition unit root tests
• A note on the size of the KPSS unit root test
• Response surface models for the Leybourne unit root tests and lag order dependence
• Constructing Optimal tests on a Lagged dependent variable
• The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study
• Market-wide commonality in liquidity on the CEE-3 emerging stock markets
• Behavior of the Size in the Unit Root Testing Under Contamination
• Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests

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