On testing for unit roots and the initial observation

DOI10.1111/J.1368-423X.2005.00154.XMaRDI QIDQ5706722zbMATH OpenOpenAlexFDO

Authors David I. Harvey, Stephen Leybourne

Publication date 21 November 2005

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2005.00154.x

zbMATH Keywords

Dickey-Fuller testeconomic time seriesGLS detrendingpower comparisonweighted average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Power of a Unit-Root Test and the Initial Condition
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Cites work

• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Tests for Unit Roots and the Initial Condition

Cited in

(27)

• Initial conditions and stationarity tests
• A Gini-based unit root test
• The impact of the initial condition on covariate augmented unit root tests
• On trend breaks and initial condition in unit root testing
• Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures
• The Yule-Walker equations as a weighted least-squares problem and the association with tapering
• Dealing with the initial observation in the LM unit root test
• Recursive adjustment, unit root tests and structural breaks
• Minimizing the impact of the initial condition on testing for unit roots
• The impact of the initial condition on robust tests for a linear trend
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Power of a Unit-Root Test and the Initial Condition
• The sensitivity of robust unit root tests
• Seasonal unit root tests and the role of initial conditions
• Reconsidering LM unit root testing
• Unit root and cointegrating limit theory when initialization is in the infinite past
• ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES
• Unit root testing with slowly varying trends
• The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study
• A robust and practical method of unit root tests
• Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations
• Testing for unit roots in the presence of uncertainty over both the trend and initial condition
• Tests for Unit Roots and the Initial Condition
• Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
• Local power of panel unit root tests allowing for structural breaks
• Bonferroni Type Tests for Return Predictability and the Initial Condition
• A critique of the application of unit root tests

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