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
• 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
• Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility
• 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
• Testing for unit roots in time series models with non-stationary volatility
• Confidence intervals for autoregressive coefficients near one
• NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES
• 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
• 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
• 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
• 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
• 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
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
• 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
• Detrending Bootstrap Unit Root Tests
• 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
• A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS
• 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
• NONPARAMETRIC NONSTATIONARITY 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
• Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data
• Lessons from a Decade of IPS and LLC
• 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
• 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

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