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

DOI10.1515/JTSE-2015-0013MaRDI QIDQ1695682zbMATH OpenOpenAlexWikidataFDO

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/

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)

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Cites work

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

Cited in

(10)

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

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