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)

• 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
• Testing for unit root processes in random coefficient autoregressive models
• Minimizing the impact of the initial condition on testing for unit roots
• Test for linearity against STAR models with deterministic trends
• Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach
• Recursive mean adjustment and tests for nonstationarities
• ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
• Inference in a nearly integrated autoregressive model with nonnormal innovations
• Lessons from a decade of IPS and LLC
• Nonparametric tests for unit roots and cointegration.
• Semi-nonparametric cointegration testing
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• Testing cointegration in infinite order vector autoregressive processes
• Recursive adjustment, unit root tests and structural breaks
• TRANSFORMATIONS FOR MULTIVARIATE STATISTICS
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• BootstrapMUnit Root Tests
• Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
• The effect of recursive detrending on panel unit root tests
• Testing for a unit root in the presence of a possible break in trend
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• Nonparametric inference for conditional quantiles of time series
• Multivariate singular spectrum analysis for forecasting revisions to real-time data
• Asymptotics of tests for a unit root in autoregression
• Mean reversion in real exchange rates
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• New unit root asymptotics in the presence of deterministic trends.
• Applications of higher-order optimal Newton secant iterative methods in ocean acidification and investigation of long-run implications of \(CO_{2}\) emissions on alkalinity of seawater
• Multivariate cointegration analysis of the Finnish-Japanese stock markets
• A new estimator for the unit root
• A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
• Testing for unit roots with stationary covariates
• Forecasting cointegrated nonstationary time series with time-varying variance
• Testing for a unit root in a near-integrated model with skip-sampled data
• Estimating deterministic trends with an integrated or stationary noise component
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Constructing Optimal tests on a Lagged dependent variable
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Tests for a change in persistence against the null of difference‐stationarity
• Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
• Unit root testing with stationary covariates and a structural break in the trend function
• Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
• PARTIALLY LINEAR MODELS WITH UNIT ROOTS
• Averaging estimators for autoregressions with a near unit root
• Alternative estimators and unit root tests for seasonal autoregressive processes
• Seasonal unit root tests and the role of initial conditions
• Test for the null hypothesis of cointegration with reduced size distortion
• Unit Root Tests under Time-Varying Variances
• From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more
• Incidental trends and the power of panel unit root tests
• Federal regulation and aggregate economic growth
• Pairwise Tests of Purchasing Power Parity
• Bootstrapping unit root tests with covariates
• Testing for a rational bubble under long memory
• Fully modified estimation of seasonally cointegrated processes
• Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures
• Cointegration in large VARs
• International mobility of capital in the United States: robust evidence from time-series tests
• Price dynamics in an exchange economy
• The impact of the initial condition on robust tests for a linear trend
• Semiparametrically point-optimal hybrid rank tests for unit roots
• The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
• Characterising economic trends by Bayesian stochastic model specification search
• Interdependencies between CDS spreads in the European union: is Greece the black sheep or black swan?
• Modeling tails of aggregate economic processes in a stochastic growth model
• Numerical distribution functions for seasonal unit root tests
• Unit root testing with slowly varying trends
• Expectations hypotheses tests at Long Horizons
• Modified unit root tests and momentum threshold autoregressive processes.
• Finite-sample properties of modified unit root tests in the presence of structural change.
• Testing for strict stationarity in a random coefficient autoregressive model
• Bootstrap-assisted unit root testing with piecewise locally stationary errors
• Covariate unit root tests with good size and power
• Localized level crossing random walk test robust to the presence of structural breaks

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