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

DOI10.1080/02331888.2013.835815MaRDI QIDQ2934855zbMATH OpenOpenAlexFDO

Authors 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

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)

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

Cites work

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

Cited in

(5)

• Lag truncation and the local asymptotic distribution of the ADF test for a unit root
• The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending
• GLS-detrending and regime-wise stationarity testing in small samples
• 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

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