ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT

DOI10.1017/S026646660606018XMaRDI QIDQ3409058zbMATH OpenOpenAlexFDO

Authors Ye Cai, Mototsugu Shintani

Publication date 7 November 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s026646660606018x

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

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Cites work

• A simple cointegrating rank test without vector autoregression
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Properties of Residual Based Tests for Cointegration
• Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion
• Efficient Tests for an Autoregressive Unit Root
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Limiting power of unit-root tests in time-series regression
• Nonparametric tests for unit roots and cointegration.
• On the Theory of Testing for Unit Roots in Observed Time Series
• Simple Robust Testing of Regression Hypotheses
• Size and power of tests of stationarity in highly autocorrelated time series
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• Time Series Regression with a Unit Root
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

Cited in

(9)

• Portmanteau-type tests for unit-root and cointegration
• Portmanteau-type test for unit root with heavy-tailed noise
• On the asymptotic power of the variance ratio test
• UNIT ROOT TESTS WITH WAVELETS
• A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test
• Testing for strict stationarity in a random coefficient autoregressive model
• On the performance of the variance ratio unit root tests with flexible Fourier form
• A residual-based nonparametric variance ratio no-cointegration test
• Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics

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