On the asymptotic distribution of the Dickey Fuller-GLS test statistic

DOI10.1080/02331888.2013.835815zbMATH Open1305.62086OpenAlexW2153940573MaRDI QIDQ2934855FDOQ2934855

Joakim Westerlund

Publication date: 22 December 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2013.835815

Recommendations

• A finite-sample sensitivity analysis of the Dickey–Fuller test under local-to-unity detrending
• GLS detrending, efficient unit root tests and structural change.
• GLS detrending and unit root testing
• GLS-based unit root tests for bounded processes
• Asymptotics of tests for a unit root in autoregression

zbMATH Keywords

asymptotic distributionunit root testGLS detrendingasymptotic local powermethod of proof

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Asymptotics for linear processes
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Testing for a unit root in time series regression
• Towards a unified asymptotic theory for autoregression
• Testing for unit roots in autoregressive-moving average models of unknown order
• Tests for Unit Roots and the Initial Condition
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• Testing for unit roots with stationary covariates
• Nearly efficient likelihood ratio tests of the unit root hypothesis

Cited In (4)

• The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending
• Robust Dickey-Fuller tests based on ranks for time series with additive outliers
• A finite-sample sensitivity analysis of the Dickey–Fuller test under local-to-unity detrending
• Lag truncation and the local asymptotic distribution of the ADF test for a unit root

This page was built for publication: On the asymptotic distribution of the Dickey Fuller-GLS test statistic

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2934855)