ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS

DOI10.1111/j.1467-9892.1995.tb00243.xzbMath0825.62688OpenAlexW2055648209MaRDI QIDQ4855269

Wayne A. Fuller, Heon Jin Park

Publication date: 13 December 1995

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00243.x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (26)

The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks ⋮ A pair-wise approach to testing for output and growth convergence ⋮ Implementing unit roost tests in ARMA models of unknown order ⋮ On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root ⋮ The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study ⋮ Semiparametric unit root tests based on symmetric estimators ⋮ Localized level crossing random walk test robust to the presence of structural breaks ⋮ A new estimator for the unit root ⋮ A weighted symmetric cointegration test ⋮ Alternative estimators and unit root tests for seasonal autoregressive processes ⋮ Estimating break points in a time series regression with structural changes ⋮ Modified unit root tests and momentum threshold autoregressive processes. ⋮ Approximate ML and REML estimation for regression models with spatial or time series AR(1) noise. ⋮ A sequential procedure for testing the existence of a random walk model in finite samples ⋮ Finite-sample properties of modified unit root tests in the presence of structural change. ⋮ Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests ⋮ Nearly weighted risk minimal unbiased estimation ⋮ Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues ⋮ UNIT ROOT TESTS WITH WAVELETS ⋮ Response surface models for the Leybourne unit root tests and lag order dependence ⋮ Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power ⋮ A momentum-threshold autoregressive unit root test with increased power ⋮ UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION ⋮ Size and power properties of powerful unit root tests in the presence of variance breaks ⋮ The robustness of modified unit root tests in the presence of GARCH ⋮ Efficient tests for unit roots with prediction errors

Cites Work

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• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• On the Theory of Testing for Unit Roots in Observed Time Series
• Testing for Unit Roots in Seasonal Time Series

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