The Phillips unit root tests for polynomials of integrated processes revisited

DOI10.1016/j.econlet.2018.12.033zbMath1414.62381OpenAlexW2910566303WikidataQ128557722 ScholiaQ128557722MaRDI QIDQ1730179

Oliver Stypka, Martin Wagner

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

zbMATH Keywords

integrated processPhillips unit root testspolynomial transformation

Mathematics Subject Classification ID

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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