Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
From MaRDI portal
Publication:4887199
Recommendations
- 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
Cited in
(67)- Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
- The fragility of the KPSS stationarity test
- A fixed-\(b\) perspective on the Phillips-Perron unit root tests
- Heteroskedastic time series with a unit root
- Linear process bootstrap unit root test
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Measurement errors and outliers in seasonal unit root testing
- Nonlinear models of convergence
- Testing for boundary conditions in case of fractionally integrated processes
- Understanding the effect of technology shocks in SVARs with long-run restrictions
- A look at the quality of the approximation of the functional central limit theorem
- Response surface models for the Leybourne unit root tests and lag order dependence
- The Phillips unit root tests for polynomials of integrated processes revisited
- Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process
- Testing for a trend with persistent errors
- Panel unit root tests with cross-section dependence: a further investigation
- 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
- Modeling long cycles
- THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
- On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
- Behavior of the Size in the Unit Root Testing Under Contamination
- Finite sample behaviour of the level shift model using quasi-differenced data
- Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
- Testing for unit roots in bounded time series
- Bootstrap-assisted unit root testing with piecewise locally stationary errors
- A residual-based nonparametric variance ratio no-cointegration test
- Nonparametric tests for unit roots and cointegration.
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- A new approach to unit root testing
- Spurious regression
- FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
- Unit root inference for non-stationary linear processes driven by infinite variance innovations
- BootstrapMUnit Root Tests
- Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
- Simple tests for stock return predictability with good size and power properties
- ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
- Estimation and inference in nearly unbalanced nearly cointegrated systems
- Nonparametric rank tests for non-stationary panels
- Powerful unit root tests free of nuisance parameters
- Special issue of \textit{Econometric Theory} in honor of Professor Richard J. Smith: guest editors' introduction
- Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
- 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
- The fast iterated bootstrap
- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
- A modified information criterion for cointegration tests based on a VAR approximation
- TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
- 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
- Testing the persistence of the forward premium: structural changes or misspecification?
- A strongly consistent criterion to decide between I(1) and I(0) processes based on different convergence rates
- Nonlinear IV panel unit root testing under structural breaks in the error variance
- Reducing the size distortion of the KPSS test
- 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 Parametric approach to the Estimation of Cointegration Vectors in Panel Data
- A sequential procedure for testing the existence of a random walk model in finite samples
- Unit roots: a selective review of the contributions of Peter C. B. Phillips
This page was built for publication: Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4887199)
