ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS

DOI10.1081/ETC-120015385MaRDI QIDQ4817433zbMATH OpenFDO

Authors Yoosoon Chang, Joon Y. Park

Publication date 22 September 2004

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/ETC-120015385

zbMATH Keywords

ADF testsasymptoticsautoregressive approximationlinear processunit roots

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Asymptotics of tests for a unit root in autoregression
• Lag truncation and the local asymptotic distribution of the ADF test for a unit root
• On the asymptotic distribution of a unit root test against ESTAR alternatives
• Testing unit root based on partially adaptive estimation
• ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
• An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy

Cites work

• Asymptotics for linear processes
• Consistent autoregressive spectral estimates
• 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?)
• 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

(79)

• Bootstrap Unit-Root Tests: Comparison and Extensions
• The power of the ADF test
• Bootstrap point optimal unit root tests
• On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
• An infimum coefficient unit root test allowing for an unknown break in trend
• Residual-augmented IVX predictive regression
• Detection and attribution of climate change through econometric methods
• High-precision combined tidal forecasting model
• Lag truncation and the local asymptotic distribution of the ADF test for a unit root
• A residual-based ADF test for stationary cointegration in I(2) settings
• Modified unit root tests with nuisance parameter free asymptotic distributions
• Bootstrap unit root tests in panels with cross-sectional dependency
• Testing for unit roots in bounded time series
• Nonparametric likelihood inference for general autoregressive models
• Micro versus macro cointegration in heterogeneous panels
• Testing for cointegration with threshold adjustment in the presence of structural breaks
• Multiple structural breaks in cointegrating regressions: a model selection approach
• Regulated seasonal unit root process
• A bootstrap theory for weakly integrated processes
• Bootstrapping cointegrating regressions
• Bounds, breaks and unit root tests
• On augmented franses tests for seasonal unit roots
• Unit root testing in the presence of heavy-tailed GARCH errors
• Testing for a unit root against transitional autoregressive models
• Powerful unit root tests free of nuisance parameters
• Robust unit root tests with autoregressive errors
• The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(p) errors
• A modified information criterion for cointegration tests based on a VAR approximation
• Testing for unit roots in autoregressions with multiple level shifts
• On the asymptotic distribution of the Dickey Fuller-GLS test statistic
• Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
• Extracting a common stochastic trend: theory with some applications
• Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
• A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
• On augmented HEGY tests for seasonal unit roots
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• BootstrapMUnit Root Tests
• Seasonal unit root tests and the role of initial conditions
• A sieve bootstrap test for cointegration in a conditional error correction model
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• LONG MEMORY TESTING IN THE TIME DOMAIN
• DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
• Testing for a unit root in the presence of a possible break in trend
• Robust inference in autoregressions with multiple outliers
• Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
• An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
• A Sieve Bootstrap For The Test Of A Unit Root
• Testing for unit roots in time series models with non-stationary volatility
• On the Dickey-Fuller test with white standard errors
• Bootstrap-assisted unit root testing with piecewise locally stationary errors
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
• Unit root testing with slowly varying trends
• Lag length selection for unit root tests in the presence of nonstationary volatility
• Detrending bootstrap unit root tests
• A hybrid bootstrap approach to unit root tests
• Taking a new contour: a novel approach to panel unit root tests
• The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Regulated fractionally integrated processes
• Heteroskedastic time series with a unit root
• The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
• The performance of lag selection and detrending methods for HEGY seasonal unit root tests
• Robust inference for near-unit root processes with time-varying error variances
• Bootstrapping unit root tests with covariates
• Nonstationarity in time series of state densities
• Improved tests for stock return predictability
• High‐dimensional sparse multivariate stochastic volatility models
• Bounded unit root processes with non-stationary volatility
• Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises
• A new heteroskedasticity-robust test for explosive bubbles
• Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order
• Bootstrapping I(1) data
• Unit root testing under a local break in trend
• Residual based tests for cointegration in dependent panels
• Unit root testing
• Modified fast double sieve bootstraps for ADF tests

This page was built for publication: ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4817433)