RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES

DOI10.1111/J.1467-9892.1996.TB00263.XzbMATH Open0835.62078OpenAlexW2075447755MaRDI QIDQ4870529FDOQ4870529

Authors: Jesús Gonzalo Pérez, Tae-Hwy Lee 

Publication date: 20 March 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00263.x

Recommendations

• Limiting power of unit-root tests in time-series regression
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zbMATH Keywords

unit rootsautoregressive modelsize distortionsDickey-Fuller type testslack of powerstationary rootsStudent t tests

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Asymptotics for linear processes
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Higher-order sample autocorrelations and the unit root hypothesis
• Integration Versus Trend Stationary in Time Series

Cited In (5)

• A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS
• Unit root testing
• Time series clustering and classification by the autoregressive metric
• Pitfalls in testing for long run relationships
• The Autoregressive metric for comparing time series models

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