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

DOI10.1016/S0378-4371(02)01344-4zbMATH Open1006.62077OpenAlexW2013343944MaRDI QIDQ1852532FDOQ1852532

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

Recommendations

• Unit root testing in the presence of innovation variance breaks: a simple solution with increased power
• Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative
• Unit root tests with a break in innovation variance.
• Unit Root Tests under Time-Varying Variances
• Unit root tests in the presence of multi-variance break and level shifts that have power against the piecewise stationary alternative

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)

Cites Work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Title not available (Why is that?)
• Efficient Tests for an Autoregressive Unit Root
• The Bias of Autoregressive Coefficient Estimators
• Recursive mean adjustment for unit root tests
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Title not available (Why is that?)

Cited In (14)

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

This page was built for publication: Size and power properties of powerful unit root tests in the presence of variance breaks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1852532)