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

DOI10.1111/J.1467-9892.1996.TB00263.XMaRDI QIDQ4870529zbMATHOpenAlexFDO

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

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)

Recommendations

• Limiting power of unit-root tests in time-series regression
• Some properties of exact tests for unit roots
• Efficient Tests for an Autoregressive Unit Root
• Testing for a unit root in time series regression

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Asymptotics for linear processes
• Higher-order sample autocorrelations and the unit root hypothesis
• Integration Versus Trend Stationary in Time Series
• 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

Cited in

(5)

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

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