Dealing with the Initial Observation in the LM Unit Root Test
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Publication:2828776
DOI10.1080/03610918.2014.950747zbMath1349.62385OpenAlexW2012308202MaRDI QIDQ2828776
Publication date: 26 October 2016
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2014.950747
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Minimizing the impact of the initial condition on testing for unit roots
- Testing for unit roots in the presence of uncertainty over both the trend and initial condition
- Testing for nonlinear deterministic components when the order of integration is unknown
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Efficient Tests for an Autoregressive Unit Root
- Tests for Unit Roots and the Initial Condition
- On testing for unit roots and the initial observation