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

DOI10.1017/S0266466699151077MaRDI QIDQ4700856zbMATH OpenOpenAlexFDO

Authors 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

linear autoregressionordinary least squaresunit root

Mathematics Subject Classification ID

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

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Cited in

(8)

• On the asymptotic expectations of some unit root tests in a first order autoregressive process in the presence of trend
• Testing for unit roots in heterogeneous panels.
• Reprint of: Testing for unit roots in heterogeneous panels
• Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
• Testing for a unit root in an ar(1) model using three and four moment approximations: symmetric distributions
• Distribution approximation of unit root tests in autoregressive models
• Model specification in panel data unit root tests with an unknown break
• From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more

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