Robust unit root tests with autoregressive errors
DOI10.1080/03610926.2014.955114zbMATH Open1349.62386OpenAlexW2484412529MaRDI QIDQ2830189FDOQ2830189
Authors: Marta Moreno, Juan Romo 
Publication date: 9 November 2016
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.955114
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Cites Work
- Bootstrapping unstable first-order autoregressive processes
- Multiple Time Series Regression with Integrated Processes
- A Sieve Bootstrap For The Test Of A Unit Root
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Bootstrapping Unit Root Tests for Autoregressive Time Series
- Title not available (Why is that?)
- Time Series Regression with a Unit Root
- Weak limit theorems for stochastic integrals and stochastic differential equations
- Conditions for linear processes to be strong-mixing
- Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- Estimation of the Distribution of Noise in an Autoregression Scheme
- Unit root bootstrap tests under infinite variance
- Unit root bootstrap tests for AR (1) models
- Bootstrap tests for unit roots based on LAD estimation
Cited In (9)
- Robust Sign Test for the Unit Root Hypothesis of Autoregression
- A hybrid bootstrap approach to unit root tests
- Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions
- Locally most powerful test for the random coefficient autoregressive model
- Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
- Bootstrap tests for unit roots based on LAD estimation
- A weighted least squares procedure to approximate least absolute deviation estimation in time series with specific reference to infinite variance unit root problems
- Unit root bootstrap tests under infinite variance
- Simple robust tests for autocorrelated errors in time series design intervention models
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