Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
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Publication:1351232
DOI10.1016/0165-1765(95)00758-XzbMath0875.62601MaRDI QIDQ1351232
Publication date: 27 February 1997
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(95)00758-x
62P20: Applications of statistics to economics
91B82: Statistical methods; economic indices and measures
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Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter
- Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
- Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
- Testing for a unit root in time series regression
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Time Series Regression with a Unit Root
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
