Power of a Unit-Root Test and the Initial Condition

DOI10.1111/J.1467-9892.2006.00486.XzbMath1111.62078OpenAlexW2093072557MaRDI 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

zbMATH Keywords

asymptotic distributionpoweraugmented Dickey-Fuller testElliot-Müller point optimal unit-root test

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)

Related Items (6)

UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION ⋮ The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study ⋮ On trend breaks and initial condition in unit root testing ⋮ Seasonal unit root tests and the role of initial conditions ⋮ Unit root testing with slowly varying trends ⋮ Pooled Panel Unit Root Tests and the Effect of Past Initialization

Cites Work

• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition
• On testing for unit roots and the initial observation

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