The impact of the initial condition on covariate augmented unit root tests

DOI10.1515/JTSE-2015-0013zbMATH Open1499.62288OpenAlexW2319388561WikidataQ64350093 ScholiaQ64350093MaRDI QIDQ1695682FDOQ1695682

Authors: Chrystalleni Aristidou, David I. Harvey, Stephen Leybourne 

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: http://eprints.nottingham.ac.uk/32655/

Recommendations

• On testing for unit roots and the initial observation
• Minimizing the impact of the initial condition on testing for unit roots
• Tests for Unit Roots and the Initial Condition
• Power of a Unit-Root Test and the Initial Condition
• Testing for unit roots with stationary covariates

zbMATH Keywords

asymptotic powerunit root testsinitial condition uncertaintystationary covariates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition
• On testing for unit roots and the initial observation
• Testing for unit roots with stationary covariates
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
• The impact of the initial condition on covariate augmented unit root tests

Cited In (10)

• Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures
• Tests for Unit Roots and the Initial Condition
• Minimizing the impact of the initial condition on testing for unit roots
• On testing for unit roots and the initial observation
• Dealing with the initial observation in the LM unit root test
• A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
• The role of information in nonstationary regression
• Initial conditions and stationarity tests
• Seasonal unit root tests and the role of initial conditions
• The impact of the initial condition on covariate augmented unit root tests

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