On the power of unit root tests against fractional alternatives

DOI10.1016/0165-1765(94)90049-3zbMath0800.62532OpenAlexW1969484464WikidataQ126982952 ScholiaQ126982952MaRDI QIDQ1327982

Jürgen Wolters, Uwe Hassler

Publication date: 3 July 1994

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)90049-3

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

• Unnamed Item
• Asymptotics for linear processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Fractional Unit Root Distribution
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression