On the Dickey-Fuller test with white standard errors

DOI10.1007/s00362-007-0112-1zbMath1247.62219MaRDI QIDQ451360

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

zbMATH Keywords

robustness; heteroscedasticity; unit root; local-to-unity

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62F03: Parametric hypothesis testing

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Nonlinear IV panel unit root testing under structural breaks in the error variance, M-estimator based unit root tests in the ESTAR framework, Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept, The power of unit root tests against nonlinear local alternatives

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