A comparison of alternative unit root tests

DOI10.1080/0266476052000330286MaRDI QIDQ3591967zbMATH OpenOpenAlexFDO

Authors George E. Halkos, Ilias S. Kevork

Publication date 11 September 2007

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/0266476052000330286

zbMATH Keywords

Monte Carlo simulationspower of the testtype I errorunit root tests

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Testing for a unit root in time series regression
• Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series
• Unit root testing
• The behaviour of Dickey–Fuller and Phillips–Perron testsunder the alternative hypothesis
• Some properties of exact tests for unit roots

Cites work

• A Note on the Generation of Random Normal Deviates
• Fractional integration and the augmented Dickey--Fuller test
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• On the power of unit root tests against fractional alternatives
• The behaviour of Dickey–Fuller and Phillips–Perron testsunder the alternative hypothesis

Cited in

(6)

• Alternative unit root testing strategies using the Fourier approximation
• A consistent test for unit root against fractional alternative
• A sequential procedure for testing the existence of a random walk model in finite samples
• Ratio tests of a unit root
• On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
• A critique of the application of unit root tests

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