Approximate Conditional Unit Root Inference

DOI10.1111/1467-9892.01505MaRDI QIDQ4544835zbMATH OpenOpenAlexFDO

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

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)

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

Cites work

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

Cited in

(4)

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

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