Finite-sample properties of modified unit root tests in the presence of structural change.
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Publication:1426175
DOI10.1016/S0096-3003(03)00167-XzbMath1035.62090OpenAlexW2080611714MaRDI QIDQ1426175
Publication date: 14 March 2004
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0096-3003(03)00167-x
Monte Carlo simulationRecursive mean adjustmentStructural changeUnit root testsWeighted symmetric estimationEmpirical power
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
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- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
- recursive Mean Adjustment for Unit Root Tests
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- The Bias of Autoregressive Coefficient Estimators
- Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
- ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
- Efficient Tests for an Autoregressive Unit Root
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