Nonparametric tests for unit roots and cointegration.
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- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3591256 (Why is no real title available?)
- scientific article; zbMATH DE number 3357844 (Why is no real title available?)
- A functional central limit theorem for weakly dependent sequences of random variables
- An introduction to stochastic unit-root processes
- Asymptotics for linear processes
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Tests for an Autoregressive Unit Root
- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Fully Modified Vector Autoregressive Inference in Partially Nonstationary Models
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Nonparametric cointegration analysis
- Rank tests for unit roots
- Statistical analysis of cointegration vectors
- Testing for a unit root in time series regression
- Testing for unit roots in autoregressive-moving average models of unknown order
- 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?
- Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
- The Fractional Unit Root Distribution
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- Towards a unified asymptotic theory for autoregression
- Trend Function Hypothesis Testing in the Presence of Serial Correlation
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
Cited in
(63)- THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
- On the usability of the fluctuation test statistic to identify multiple cointegration break points
- A residual-based nonparametric variance ratio no-cointegration test
- Johansen‐type cointegration tests with a Fourier function
- Stationarity test based on density approach
- NOTES AND PROBLEMS A GENERAL BOUND FOR THE LIMITING DISTRIBUTION OF BREITUNG'S STATISTIC
- The size performance of a nonparametric unit root test under a variance shift
- Nonparametric nonstationarity tests
- On the performance of the variance ratio unit root tests with flexible Fourier form
- Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests
- Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
- Bounds, breaks and unit root tests
- A test of the null of integer integration against the alternative of fractional integration
- The performance of unit root tests under level-dependent heteroskedasticity
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
- Spectral approach to parameter-free unit root testing
- The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations
- Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models
- Testing for a shift in trend at an unknown date: a fixed-\(b\) analysis of heteroskedasticity autocorrelation robust OLS-based tests
- ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
- THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
- Tests for cointegration with structural breaks based on subsamples
- A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
- Econometric analysis of linearized singular dynamic stochastic general equilibrium models
- A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
- Some nonparametric asymptotic results for a class of stochastic processes
- Random Walks with Drift – A Sequential Approach
- Bias-adjusted estimation in the ARX(1) model
- Testing for a unit root under errors with just barely infinite variance
- Powerful unit root tests free of nuisance parameters
- Ratio tests under limiting normality
- Joint detection of unit roots and cointegration: data-based simulation
- Wavelet energy ratio unit root tests
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
- Linear cointegration of nonlinear time series with an application to interest rate dynamics
- The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
- Detection of stationary errors in multiple regressions with integrated regressors and cointegration
- Unit root tests and dramatic shifts with infinite variance processes
- A simple cointegrating rank test without vector autoregression
- A unifying theory of tests of rank
- A new approach to unit root testing
- The performance of panel cointegration methods: results from a large scale simulation study
- NONLINEARITY IN THE CANADIAN AND U.S. LABOR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS
- INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES
- Testing for nonlinear deterministic components when the order of integration is unknown
- Estimation of semiparametric locally stationary diffusion models
- A wavelet-based variance ratio unit root test for a system of equations
- The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications
- Monitoring change in persistence in linear time series
- A surveillance procedure for random walks based on local linear estimation
- Regression-based analysis of cointegration systems
- Monitoring procedures to detect unit roots and stationarity
- Periodic autoregressive models for time series with integrated seasonality
- Moving ratio test for multiple changes in persistence
- Portmanteau-type tests for unit-root and cointegration
- Non-parametric testing for seasonally and periodically integrated processes
- Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion
- A family of nonparametric unit root tests for processes driven by infinite variance innovations
- Variance ratio tests of the seasonal unit root hypothesis
- New Simple Tests for Panel Cointegration
- A note on the size of the KPSS unit root test
- Tests for nonlinear cointegration
- Nonparametric rank tests for non-stationary panels
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