On the Dickey-Fuller test with white standard errors

DOI10.1007/S00362-007-0112-1zbMATH Open1247.62219OpenAlexW2079136916MaRDI QIDQ451360FDOQ451360

Authors: Matei Demetrescu 

Publication date: 23 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-007-0112-1

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zbMATH Keywords

heteroscedasticityrobustnessunit rootlocal-to-unity

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Time Series Regression with a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Unit Root Tests under Time-Varying Variances
• Distribution theory for unit root tests with conditional heteroskedasticity
• Recursive mean adjustment for unit root tests
• Recursive mean adjustment and tests for nonstationarities
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
• Properties of recursive trend-adjusted unit root tests

Cited In (5)

• Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
• Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept
• M-estimator based unit root tests in the ESTAR framework
• The power of unit root tests against nonlinear local alternatives
• Nonlinear IV panel unit root testing under structural breaks in the error variance

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