Testing for Unit Roots: 2

DOI10.2307/1910998zbMATH Open0579.62014OpenAlexW1969405160MaRDI QIDQ3702271FDOQ3702271

Authors:

Publication date: 1984

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1910998

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zbMATH Keywords

tablesordinary least squaresleast squares estimatorfirst order autoregressive processexact powersstandard normal approximationtesting for unit rootsrandom- walk hypothesisstability hypothesis

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20)

Cited In (47)

• Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
• Structural change and unit roots
• Some elementary distribution theory for an autoregression fitted to a random walk.
• The exact moments of OLS in dynamic regression models with non-normal errors
• Approximation to the finite sample distribution of a sufficient estimator of the coefficient in a non-stationary AR(1) model
• Near-integration and deterministic trends
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Testing stationarity and trend stationarity against the unit root hypothesis
• A similarity-based approach to time-varying coefficient non-stationary autoregression
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Testing the autoregressive parameter with the t statistic
• Clive W. J. Granger and cointegration
• Minimizing the impact of the initial condition on testing for unit roots
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Unit root testing
• Testing the random walk hypothesis: power versus frequency of observation
• An analogue model of phase-averaging procedures
• Adjusted estimates and Wald statistics for the AR(1) model with constant
• Closed forms for asymptotic bias and variance in autoregressive models with unit roots
• Limiting power of unit-root tests in time-series regression
• A Bayesian analysis of the unit root in real exchange rates
• Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
• Trends and random walks in macroeconomic time series
• Higher-order sample autocorrelations and the unit root hypothesis
• The distribution of the Durbin-Watson statistic in integrated and near-integrated models
• Unbiased estimation as a solution to testing for random walks
• Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
• Ratio tests of a unit root
• Do we reject rational expectations models too often?: Interpreting evidence using Nagar expansions
• Orthogonality tests with de-trended data: interpreting Monte-Carlo results using Nagar expansions
• On the nearly nonstationary seasonal time series
• Unit root tests in time series. Volume 2. Extensions and developments
• Hypothesis testing for nearly nonstationary autoregressive models
• DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL
• From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
• An inverted beta approximation to a MPI unit root test
• The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution
• Incidental trends and the power of panel unit root tests
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
• Unit root bootstrap tests under infinite variance
• A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• Unit-roots test for time-series data with a linear time trend
• A sequential procedure for testing the existence of a random walk model in finite samples
• Norming rates and limit theory for some time-varying coefficient autoregressions
• Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing
• Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism

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