ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3502569 (Why is no real title available?)
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- Asymptotics for linear processes
- Consistent autoregressive spectral estimates
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Moving-average representation of autoregressive approximations
- REGRESSION, AUTOREGRESSION MODELS
- Testing for a unit root in time series regression
- Testing for unit roots in autoregressive-moving average models of unknown order
- Time Series Regression with a Unit Root
- Time series: theory and methods.
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
Cited in
(74)- Unit root testing with slowly varying trends
- Bootstrap unit root tests in panels with cross-sectional dependency
- On the Dickey-Fuller test with white standard errors
- DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
- Bounds, breaks and unit root tests
- The performance of lag selection and detrending methods for HEGY seasonal unit root tests
- A bootstrap theory for weakly integrated processes
- Bootstrapping cointegrating regressions
- Unit root testing in the presence of heavy-tailed GARCH errors
- Robust inference for near-unit root processes with time-varying error variances
- High‐dimensional sparse multivariate stochastic volatility models
- Bootstrap point optimal unit root tests
- Residual-augmented IVX predictive regression
- Modified unit root tests with nuisance parameter free asymptotic distributions
- An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
- Robust unit root tests with autoregressive errors
- The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(\(p\)) errors
- Micro versus macro cointegration in heterogeneous panels
- Robust inference in autoregressions with multiple outliers
- A residual-based ADF test for stationary cointegration in I(2) settings
- Regulated fractionally integrated processes
- Bootstrap Unit-Root Tests: Comparison and Extensions
- LONG MEMORY TESTING IN THE TIME DOMAIN
- The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
- Residual based tests for cointegration in dependent panels
- Unit root testing under a local break in trend
- ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Testing for unit roots in time series models with non-stationary volatility
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- Testing for unit roots in autoregressions with multiple level shifts
- BootstrapMUnit Root Tests
- A modified information criterion for cointegration tests based on a VAR approximation
- Nonstationarity in time series of state densities
- A sieve bootstrap test for cointegration in a conditional error correction model
- Testing for a unit root against transitional autoregressive models
- Unit root testing
- Improved tests for stock return predictability
- Bootstrapping unit root tests with covariates
- Extracting a common stochastic trend: theory with some applications
- Nonparametric likelihood inference for general autoregressive models
- Bootstrap-assisted unit root testing with piecewise locally stationary errors
- Heteroskedastic time series with a unit root
- Lag length selection for unit root tests in the presence of nonstationary volatility
- An infimum coefficient unit root test allowing for an unknown break in trend
- Bootstrapping I(1) data
- A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
- Testing for a unit root in the presence of a possible break in trend
- Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
- Regulated seasonal unit root process
- Multiple structural breaks in cointegrating regressions: a model selection approach
- On the asymptotic distribution of the Dickey Fuller-GLS test statistic
- A Sieve Bootstrap For The Test Of A Unit Root
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- Seasonal unit root tests and the role of initial conditions
- Taking a new contour: a novel approach to panel unit root tests
- Detrending bootstrap unit root tests
- Testing for unit roots in bounded time series
- High-precision combined tidal forecasting model
- Modified fast double sieve bootstraps for ADF tests
- Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
- The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
- Lag truncation and the local asymptotic distribution of the ADF test for a unit root
- Bootstrap union tests for unit roots in the presence of nonstationary volatility
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- A hybrid bootstrap approach to unit root tests
- Detection and attribution of climate change through econometric methods
- Testing for cointegration with threshold adjustment in the presence of structural breaks
- On augmented HEGY tests for seasonal unit roots
- THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
- On augmented franses tests for seasonal unit roots
- Powerful unit root tests free of nuisance parameters
- Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
- Bounded unit root processes with non-stationary volatility
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