Testing for unit roots with stationary covariates

DOI10.1016/S0304-4076(03)00093-9MaRDI QIDQ1810679zbMATH OpenOpenAlexFDO

Authors Graham Elliott, Michael Jansson

Publication date 9 June 2003

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(03)00093-9

zbMATH Keywords

power envelopesstructural vector autoregressionsunit roots

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Robust tests for spherical symmetry and their application to least squares regression
• Statistical analysis of cointegration vectors

Cited in

(28)

• A covariate residual-based cointegration test applied to the CDS-bond basis
• The impact of the initial condition on covariate augmented unit root tests
• Covariate unit root tests with good size and power
• Unit root tests for cross-sectionally dependent panels: the influence of observed factors
• Panel unit root tests in the presence of a multifactor error structure
• Unit root quantile autoregression testing using covariates
• Testing for a unit root against ESTAR stationarity
• A parametric stationarity test with smooth breaks
• Testing for stationarity with covariates: more powerful tests with non-normal errors
• Testing the null hypothesis of stationarity against an autoregressive unit root alternative
• Unit root testing with stationary covariates and a structural break in the trend function
• A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
• On the asymptotic distribution of the Dickey Fuller-GLS test statistic
• Corrigendum to: ``Testing for unit roots with flow data and varying sampling frequency
• Unit Root Tests under Time-Varying Variances
• Unit Roots, Cointegration, and Pretesting in Var Models
• DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE
• Testing for Unit Root Against Stationarity Using the Likelihood Ratio Test
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
• Power functions and envelopes for unit root tests
• STATIONARITY TESTING WITH COVARIATES
• Unit root testing with slowly varying trends
• The role of information in nonstationary regression
• The effect of neglecting the slope parameters' heterogeneity on dynamic models of corporate capital structure
• Bootstrapping unit root tests with covariates
• On the Use of GLS Demeaning in Panel Unit Root Testing
• A class of simple distribution-free rank-based unit root tests

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