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

DOI10.1111/j.1467-9892.1996.tb00263.xzbMath0835.62078OpenAlexW2075447755MaRDI QIDQ4870529

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

zbMATH Keywords

autoregressive modelunit rootssize distortionsDickey-Fuller type testslack of powerstationary rootsStudent t tests

Mathematics Subject Classification ID

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

Related Items (4)

Unit root testing ⋮ The Autoregressive metric for comparing time series models ⋮ Time series clustering and classification by the autoregressive metric ⋮ Pitfalls in testing for long run relationships

Cites Work

• Unnamed Item
• Asymptotics for linear processes
• Higher-order sample autocorrelations and the unit root hypothesis
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Integration Versus Trend Stationary in Time Series
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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