ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE

DOI10.1017/S0266466699151077zbMath0958.62016OpenAlexW1978589115MaRDI QIDQ4700856

Seiji Nabeya

Publication date: 9 April 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466699151077

zbMATH Keywords

unit rootordinary least squareslinear autoregression

Mathematics Subject Classification ID

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

Related Items (4)

Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application ⋮ Reprint of: Testing for unit roots in heterogeneous panels ⋮ Model specification in panel data unit root tests with an unknown break ⋮ Testing for unit roots in heterogeneous panels.

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