Size and power properties of powerful unit root tests in the presence of variance breaks

DOI10.1016/S0378-4371(02)01344-4MaRDI QIDQ1852532zbMATH OpenOpenAlexFDO

Authors Steven Cook

Publication date 6 January 2003

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(02)01344-4

zbMATH Keywords

time seriesDickey-Fuller testvariance breaks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3921782 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Recursive mean adjustment for unit root tests
• The Bias of Autoregressive Coefficient Estimators

Cited in

(14)

• Testing for cointegration in the presence of mis-specified structural change
• The size performance of a nonparametric unit root test under a variance shift
• Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative
• Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null
• Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
• ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
• The sensitivity of robust unit root tests
• Unit root testing in the presence of innovation variance breaks: a simple solution with increased power
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Finite-sample properties of modified unit root tests in the presence of structural change.
• The power of unit root tests under local-to-finite variance errors
• On the oversized problem of Dickey-Fuller-type tests with GARCH errors
• Behavior of the Size in the Unit Root Testing Under Contamination
• The finite-sample performance of robust unit root tests

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