Efficient Tests for an Autoregressive Unit Root

DOI10.2307/2171846zbMATH Open0888.62088OpenAlexW2149292156MaRDI QIDQ4895048FDOQ4895048

Authors: Graham Elliott, Thomas J. Rothenberg, James H. Stock 

Publication date: 8 June 1998

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/t0130.pdf

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zbMATH Keywords

time seriesnonstationarityOrnstein-Uhlenbeck processespower envelopeDickey-Fuller t-testpoint-optimal tests

Mathematics Subject Classification ID

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

Cited In (only showing first 100 items - show all)

• LIMITED TIME SERIES WITH A UNIT ROOT
• Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
• Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
• ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
• A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
• A likelihood based estimator for vector autoregressive processes
• A Panel Unit Root Test with Good Power in Small Samples
• The suitability of a monetary union in east Asia: what does the cointegration approach tell?
• Response surface models for the Leybourne unit root tests and lag order dependence
• Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
• Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
• Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
• Nearly efficient likelihood ratio tests of the unit root hypothesis
• GLS detrending and unit root testing
• The finite-sample performance of robust unit root tests
• Detection and attribution of climate change through econometric methods
• Power of a Unit-Root Test and the Initial Condition
• On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
• Examination of Some More Powerful Modifications of the Dickey–Fuller Test
• On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
• OPTIMAL VERSUS ROBUST INFERENCE IN NEARLY INTEGRATED NON-GAUSSIAN MODELS
• ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
• Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
• Testing for unit roots in bounded time series
• Multiple unit root tests under uncertainty over the initial condition: some powerful modifications
• Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
• Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests
• Unit root tests in the presence of uncertainty about the non-stochastic trend
• Unit root testing
• BIC-based unit-root detection: simulation-based evidence
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• A multivariate long-memory model with structural breaks
• A threshold cointegration test with increased power
• On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
• Hypotheses testing: Poisson versus stress-release
• The impact of oil shock on exchange rates in BRICS countries: a Markov switching model
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Nonstationary panel data analysis: an overview of some recent developments
• A control function approach for testing the usefulness of trending variables in forecast models and linear regression
• Unit root testing under a local break in trend
• A new approach to unit root testing
• Spurious regression
• Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
• Semiparametric functional coefficient models with integrated covariates
• UNIT ROOT TESTS WITH WAVELETS
• Alternative methods of detrending and the power of unit root tests
• On bootstrap implementation of likelihood ratio test for a unit root
• A momentum-threshold autoregressive unit root test with increased power
• A threshold cointegration analysis of asymmetric price transmission from crude oil to gasoline prices
• Portmanteau-type tests for unit-root and cointegration
• THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
• Improved likelihood ratio tests for cointegration rank in the VAR model
• Bayesian model selection for unit root testing with multiple structural breaks
• A complete class of tests when the likelihood is locally asymptotically quadratic.
• GLS detrending, efficient unit root tests and structural change.
• Response surface estimates of the LM unit root tests
• Market risk and Bitcoin returns
• Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process
• A test of the null of integer integration against the alternative of fractional integration
• Power functions and envelopes for unit root tests
• A note on the geometry and power of unit root tests
• Time series modeling of paleoclimate data
• Asymptotic behaviour of tests for a unit root against an explosive alternative
• Short- and long-run rolling causality techniques and optimal window-wise lag selection: an application to the export-led growth hypothesis
• Robust Dickey-Fuller tests based on ranks for time series with additive outliers
• TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
• A class of simple distribution-free rank-based unit root tests
• Testing for unit roots in autoregressions with multiple level shifts
• Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
• A simple solution for spurious regressions
• Unit root testing based on BLUS residuals
• Testing for unit roots in the presence of uncertainty over both the trend and initial condition
• On the Transmission of Memory in Garch‐in‐Mean Models
• Heteroskedastic time series with a unit root
• Size and power of tests of stationarity in highly autocorrelated time series
• A pair-wise approach to testing for output and growth convergence
• Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
• Robust inference in autoregressions with multiple outliers
• Optimal weighted average power similar tests for the covariance structure in the linear regression model
• Point optimal tests of the null hypothesis of cointegration
• Variance ratio tests of the seasonal unit root hypothesis
• Testing for common deterministic trend slopes
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Efficient tests of the seasonal unit root hypothesis
• On the usefulness of cross-validation for directional forecast evaluation
• A hybrid bootstrap approach to unit root tests
• A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
• Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
• Multivariate trend function testing with mixed stationary and integrated disturbances
• Marginal likelihood and unit roots
• A simple, robust and powerful test of the trend hypothesis
• AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
• Detrending bootstrap unit root tests
• Testing for unit roots in time series models with non-stationary volatility
• Confidence intervals for autoregressive coefficients near one
• Nonparametric nonstationarity tests
• On the asymptotic distribution of a unit root test against ESTAR alternatives
• An invariant sign test for random walks based on recursive median adjustment
• Bootstrap unit root tests in panels with cross-sectional dependency

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