Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
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Publication:4887199
DOI10.2307/2297890zbMATH Open0872.62085OpenAlexW2041002871MaRDI QIDQ4887199FDOQ4887199
Authors: Pierre Perron, Serena Ng 
Publication date: 7 November 1996
Published in: Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1866/2117
Recommendations
- A fixed-\(b\) perspective on the Phillips-Perron unit root tests
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- Efficient Tests for an Autoregressive Unit Root
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)
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- A residual-based nonparametric variance ratio no-cointegration test
- Unit roots: a selective review of the contributions of Peter C. B. Phillips
- Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
- A fixed-\(b\) perspective on the Phillips-Perron unit root tests
- The fragility of the KPSS stationarity test
- Heteroskedastic time series with a unit root
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Nonlinear models of convergence
- Linear process bootstrap unit root test
- Measurement errors and outliers in seasonal unit root testing
- Testing for boundary conditions in case of fractionally integrated processes
- Understanding the effect of technology shocks in SVARs with long-run restrictions
- Response surface models for the Leybourne unit root tests and lag order dependence
- A look at the quality of the approximation of the functional central limit theorem
- The Phillips unit root tests for polynomials of integrated processes revisited
- Panel unit root tests with cross-section dependence: a further investigation
- Testing for a trend with persistent errors
- Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process
- Efficient tests for unit roots with prediction errors
- The finite-sample performance of robust unit root tests
- Testing for unit roots in time series models with non-stationary volatility
- On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
- Bootstrap-assisted unit root testing with piecewise locally stationary errors
- Testing for unit roots in bounded time series
- Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
- Nonparametric tests for unit roots and cointegration.
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
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- Estimation and inference in nearly unbalanced nearly cointegrated systems
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- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
- GLS detrending, efficient unit root tests and structural change.
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
- The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
- Modified unit root tests with nuisance parameter free asymptotic distributions
- Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
- The fast iterated bootstrap
- A modified information criterion for cointegration tests based on a VAR approximation
- Bootstrap point optimal unit root tests
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- Testing for a unit root under errors with just barely infinite variance
- TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
- A strongly consistent criterion to decide between I(1) and I(0) processes based on different convergence rates
- Testing the persistence of the forward premium: structural changes or misspecification?
- Nonlinear IV panel unit root testing under structural breaks in the error variance
- Reducing the size distortion of the KPSS test
- A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
- Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
- Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
- A sequential procedure for testing the existence of a random walk model in finite samples
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