On the stability of the unit root test

MaRDI QIDQ427976zbMATH OpenFDO

Authors H. Fellag, L. Atil

Publication date 18 June 2012

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL http://www.ajol.info/index.php/afst/article/view/71039

zbMATH Keywords

powerautoregressive modelposterior oddsDickey-Fuller test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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Cited in

(5)

• Bayesian unit root testing for time series with heavy distribution
• Reconsidering LM unit root testing
• A critique of the application of unit root tests
• Unit root test of autoregressive time series model with partially linear time trend: a Bayesian approach
• Structural stability tests in the linear regression model when the regressors have roots local to unity

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