Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

DOI10.2307/2291151MaRDI QIDQ4836989zbMATH OpenOpenAlexFDO

Authors Serena Ng, Pierre Perron

Publication date 21 June 1995

Full work available at URL http://hdl.handle.net/1866/2114

zbMATH Keywords

adaptive rulesAkaike's information criterionautoregressive moving average modeldata-dependent rulesDickey-Fuller \(t\) testgeneral to specificinformation criteriaorder selectionSaid-Dickey testsample sizesequential testingsimulationstruncation lagunit root test

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• The balance between size and power in Dickey-Fuller tests with data-dependent rules for the choice of truncation lag
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
• Covariate unit root tests with good size and power
• Lag length selection for unit root tests in the presence of nonstationary volatility

Cited in

(only showing first 100 items - show all)

• The power of the ADF test
• Long-run equilibrium real exchange rates and oil prices
• Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation.
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• On the power of stationarity tests using optimal bandwidth estimates
• Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
• Estimation and inference in nearly unbalanced nearly cointegrated systems
• Further evidence on breaking trend functions in macroeconomic variables
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Testing cointegration in infinite order vector autoregressive processes
• Structural breaks, unit roots and methods for removing the autocorrelation pattern
• Unit root and stationarity tests' wedding
• Unit roots and structural breaks in OECD unemployment
• Mean reversion of the current account: Evidence from the panel data unit-root test
• New evidence on international R\&D spillovers, human capital and productivity in the OECD
• Nonstationary-volatility robust panel unit root tests and the great moderation
• A joint test for structural stability and a unit root in autoregressions
• Spectral approach to parameter-free unit root testing
• Estimation and forecasting in vector autoregressive moving average models for rich datasets
• A covariate residual-based cointegration test applied to the CDS-bond basis
• Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation
• Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
• On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
• GLS detrending, efficient unit root tests and structural change.
• Testing for unit roots in heterogeneous panels.
• Nonlinear mean reversion in real exchange rates.
• Testing for a unit root in the nonlinear STAR framework
• Efficient tests for unit roots with prediction errors
• The effect of linear filters on dynamic time series with structural change
• Testing for structural breaks in cointegrated relationships
• Covariate unit root tests with good size and power
• A note on an iterative least-squares estimation method for ARMA and VARMA models
• Lag optimisation and finite-sample size distortion of unit root tests
• The stationarity of consumption-income ratios: evidence from minimum LM unit root testing
• A threshold cointegration analysis of asymmetric price transmission from crude oil to gasoline prices
• Persistence change tests and shifting stable autoregressions
• An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
• Adaptive estimation of AR(\(\infty\)) models with time-varying variances
• Detection and attribution of climate change through econometric methods
• Order selection for possibly infinite-order non-stationary time series
• Lag truncation and the local asymptotic distribution of the ADF test for a unit root
• Nonparametric rank tests for non-stationary panels
• Testing the persistence of the forward premium: structural changes or misspecification?
• Testing for a unit root in variables with a double change in the mean
• Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
• Testing for seasonal unit roots by frequency domain regression
• Testing for unit roots in bounded time series
• Response surface models for the Leybourne unit root tests and lag order dependence
• Unit-root detection allowing for measurement error
• A generalized least squares estimation method for the autoregressive conditional duration model
• Selection of the break in the Perron-type tests
• Testing for a unit root against ESTAR stationarity
• Reprint of: Testing for unit roots in heterogeneous panels
• Bootstrapping GMM estimators for time series
• Using influence function for lag truncation in unit root tests
• Unit root testing with stationary covariates and a structural break in the trend function
• A modified information criterion for cointegration tests based on a VAR approximation
• Testing for unit roots in autoregressions with multiple level shifts
• Controlling energy utilisation at reheat furnace using time series model
• Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
• scientific article; zbMATH DE number 6101298 (Why is no real title available?)
• A Panel Unit Root Test with Good Power in Small Samples
• THE REAL INTEREST RATE DIFFERENTIAL: INTERNATIONAL EVIDENCE BASED ON NON-LINEAR UNIT ROOT TESTS
• Testing for Neglected Nonlinearity in Cointegrating Relationships
• Seasonal unit root tests and the role of initial conditions
• UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• LONG MEMORY TESTING IN THE TIME DOMAIN
• TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
• DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
• Robust inference in autoregressions with multiple outliers
• ARMA AND ARIMA APPROACHES TO THE UNIT ROOT ANALYSIS OF MACRO ECONOMIC VARIABLES
• Testing for unit roots in time series with nearly deterministic seasonal variation
• An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Nonparametric Tests for the Effect of a Treatment on the Conditional Variance
• Implicit expectiles and measures of implied volatility
• Unified China and divided Europe
• An introduction to hypergeometric functions for economists
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• On LM-type tests for seasonal unit roots in the presence of a break in trend
• Unit root testing with slowly varying trends
• Lag length selection for unit root tests in the presence of nonstationary volatility
• Influential nodes and anomalous topic activities in social networks using multivariate time series and topic modeling
• scientific article; zbMATH DE number 7578299 (Why is no real title available?)
• On the determination of the number of factors using information criteria with data-driven penalty
• Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
• Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors
• Kernel-weighted GMM estimators for linear time series models
• A comparison of some common methods for detecting Granger noncausality
• Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Finite sample behaviour of the level shift model using quasi-differenced data
• Cointegration Detection Using Dynamic Factor Models

This page was built for publication: Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4836989)