Approximate Conditional Unit Root Inference

DOI10.1111/1467-9892.01505zbMATH Open1001.62027OpenAlexW3125988075MaRDI QIDQ4544835FDOQ4544835

Authors: Henrik Hansen, Anders Rahbek 

Publication date: 5 August 2002

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.01505

Recommendations

• Unit root test: An unconditional maximum likelihood approach
• On the non-existence of a Bartlett correction for unit root tests
• Bartlett Corrections for Unit Root Test Statistics
• Testing for Unit Root Against Stationarity Using the Likelihood Ratio Test
• RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL

zbMATH Keywords

conditional likelihoodprofile likelihoodunit rootslikelihood ratio testBartlett correctionssmall sample corrections

Mathematics Subject Classification ID

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

Cites Work

• On bartlett and bartlett-type corrections francisco cribari-neto
• Trend stationarity in the \(I(2)\) cointegration model.
• On the non-existence of a Bartlett correction for unit root tests
• Bartlett Corrections for Unit Root Test Statistics
• Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series
• Bartlett corrections in cointegration testing

Cited In (4)

• AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
• On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
• A CORRECTION FACTOR FOR UNIT ROOT TEST STATISTICS
• Jackknife estimation with a unit root

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