Unit root tests in time series. Volume 1. Key concepts and problems

DOI10.1057/9780230299306MaRDI QIDQ300677zbMATH OpenOpenAlexFDO

Authors Kerry D. Patterson

Publication date 28 June 2016

Published in Palgrave Texts in Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1057/9780230299306

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Unit root tests in time series. Volume 2. Extensions and developments
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Unit root testing
• Time Series with Roots on or Near the Unit Circle
• Unit Roots, Cointegration, and Structural Change

Cited in

(9)

• A simple testing procedure for unit root and model specification
• Semiparametrically point-optimal hybrid rank tests for unit roots
• Unit roots: a selective review of the contributions of Peter C. B. Phillips
• Time Series with Roots on or Near the Unit Circle
• Unit root tests in time series. Volume 2. Extensions and developments
• The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
• Hybrid rank-based panel unit root tests
• Asymptotically uniformly most powerful tests for unit roots in Gaussian panels with cross-sectional dependence generated by common factors

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