Power of a Unit-Root Test and the Initial Condition
From MaRDI portal
Publication:3440766
DOI10.1111/j.1467-9892.2006.00486.xzbMath1111.62078MaRDI QIDQ3440766
Stephen J. Leybourne, David I. Harvey
Publication date: 29 May 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00486.x
asymptotic distribution; power; augmented Dickey-Fuller test; Elliot-Müller point optimal unit-root test
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62M07: Non-Markovian processes: hypothesis testing
Related Items
Unit root testing with slowly varying trends, The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study, Pooled Panel Unit Root Tests and the Effect of Past Initialization, On trend breaks and initial condition in unit root testing, UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION, Seasonal unit root tests and the role of initial conditions
Cites Work