The Phillips unit root tests for polynomials of integrated processes revisited
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Publication:1730179
DOI10.1016/j.econlet.2018.12.033zbMath1414.62381OpenAlexW2910566303WikidataQ128557722 ScholiaQ128557722MaRDI QIDQ1730179
Publication date: 11 March 2019
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2018.12.033
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
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- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- The Phillips unit root tests for polynomials of integrated processes
- A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS
- COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE
- Testing for a unit root in time series regression
- Time Series Regression with a Unit Root
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