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)

• 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
• Covariate unit root tests with good size and power
• Localized level crossing random walk test robust to the presence of structural breaks
• Low-frequency robust cointegration testing
• Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
• The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
• 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
• A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
• Deciding between I(1) and I(0)
• Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
• 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
• Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances
• 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
• 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
• Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
• 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
• BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS
• 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
• Lag optimisation and finite-sample size distortion of unit root tests
• An Intersection Test for Panel Unit Roots
• The term structure of eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach
• A sequential procedure for testing the existence of a random walk model in finite samples
• UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
• Lag truncation and the local asymptotic distribution of the ADF test for a unit root
• 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.

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