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)

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• 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
• An intersection test for panel unit roots
• Low-frequency robust cointegration testing
• Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities
• Bounded integrated processes and unit root tests
• Tests for cointegration with structural breaks based on subsamples
• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
• Deciding between I(1) and I(0)
• The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study
• On the oversized problem of Dickey-Fuller-type tests with GARCH errors
• Wald tests for detecting multiple structural changes in persistence
• A Gini-based unit root test
• Spectral approach to parameter-free unit root testing
• ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
• Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
• Methods of analyzing nonstationary time series with implicit changes in their properties
• A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
• Fundamentals and technical trading: Behavior of exchange rates in the CEECs
• Sampling at different frequencies, and the power of panel unit root tests
• A time series paradox: unit root tests perform poorly when data are cointegrated
• The performance of lag selection and detrending methods for HEGY seasonal unit root tests
• SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
• ARE UK SHARE PRICES TOO HIGH? FUNDAMENTAL VALUE OR NEW ERA
• GLS-detrending and regime-wise stationarity testing in small samples
• Are US real house prices stationary? New evidence from univariate and panel data
• Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico
• Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
• Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
• Time-varying threshold cointegration with an application to the Fisher hypothesis
• Structural breaks, tourism development, and economic growth: Evidence from Taiwan
• Numerical distribution functions for seasonal unit root tests with OLS and GLS detrending
• Bootstrap point optimal unit root tests
• Recursive adjustment for general deterministic components and improved cointegration rank tests
• Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
• The impact of the initial condition on covariate augmented unit root tests
• A simple cointegrating rank test without vector autoregression
• Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Lag length selection in DF-GLS unit root tests
• EU emissions trading scheme, competitiveness and carbon leakage: new evidence from cement and steel industries
• Robust inference for near-unit root processes with time-varying error variances
• Lag optimisation and finite-sample size distortion of unit root tests
• Lag length selection for unit root tests in the presence of nonstationary volatility
• The term structure of eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach
• Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series
• A sequential procedure for testing the existence of a random walk model in finite samples
• Lag truncation and the local asymptotic distribution of the ADF test for a unit root
• 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

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