Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
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Publication:4887199
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- A fixed-b perspective on the Phillips-Perron unit root tests
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Modified unit root tests with nuisance parameter free asymptotic distributions
- More powerful modifications of unit root tests allowing structural change
- Efficient Tests for an Autoregressive Unit Root
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- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
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- Nonlinear IV panel unit root testing under structural breaks in the error variance
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- Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
- Testing for unit roots in time series models with non-stationary volatility
- Bootstrap-assisted unit root testing with piecewise locally stationary errors
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- Nonlinear models of convergence
- THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
- A strongly consistent criterion to decide between I(1) and I(0) processes based on different convergence rates
- Heteroskedastic time series with a unit root
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- Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
- A new approach to unit root testing
- Spurious regression
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- Modeling long cycles
- A residual-based nonparametric variance ratio no-cointegration test
- High-frequency instruments and identification-robust inference for stochastic volatility models
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- Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process
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