Modified unit root tests with nuisance parameter free asymptotic distributions

DOI10.1007/S11009-016-9498-3MaRDI QIDQ2397961zbMATH OpenOpenAlexFDO

Authors Gaowen Wang

Publication date 14 August 2017

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-016-9498-3

zbMATH Keywords

size distortionunit rootlinear processblock-sums

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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Cited in

(2)

• Examination of Some More Powerful Modifications of the Dickey–Fuller Test
• Powerful unit root tests free of nuisance parameters

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