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

DOI10.1016/S0378-4371(02)01344-4zbMath1006.62077OpenAlexW2013343944MaRDI QIDQ1852532

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

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

Related Items (2)

Testing for cointegration in the presence of mis-specified structural change ⋮ On the Oversized Problem of Dickey–Fuller-Type Tests with GARCH Errors

Cites Work

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• recursive Mean Adjustment for Unit Root Tests
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Bias of Autoregressive Coefficient Estimators
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Efficient Tests for an Autoregressive Unit Root

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