Covariate unit root tests with good size and power

DOI10.1016/j.csda.2011.05.019zbMath1255.62247MaRDI QIDQ1927093

Sebastian Fossati

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://sites.ualberta.ca/~econwps/2011/wp2011-04.pdf

zbMATH Keywords

information criteria; unit root test; vector autoregression; truncation lag

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

65C05: Monte Carlo methods

Related Items

Characterising economic trends by Bayesian stochastic model specification search, A joint test for structural stability and a unit root in autoregressions, Unit root testing with stationary covariates and a structural break in the trend function

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