Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation.

DOI10.1016/S0167-9473(98)00100-5MaRDI QIDQ1292221zbMATH OpenFDO

Authors T. Oke, Johan Lyhagen

Publication date 20 June 1999

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-9473(98)00100-5

zbMATH Keywords

Information criteriaPre-testUnit root tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Testing for a unit root in time series regression
• Some properties of exact tests for unit roots
• Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cites work

• A NEW WAY TO ESTIMATE ORDERS IN TIME SERIES
• Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimating the dimension of a model
• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Selection of the order of an autoregressive model by Akaike's information criterion
• Testing for unit roots in autoregressive-moving average models of unknown order
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(3)

• A joint test for structural stability and a unit root in autoregressions
• Covariate unit root tests with good size and power
• Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing

Describes a project that uses

Uses Software

• AS 183

This page was built for publication: Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1292221)