Efficient Tests for an Autoregressive Unit Root

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Cited in

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Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
Hypotheses testing: Poisson versus stress-release
Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
Fundamentals and technical trading: Behavior of exchange rates in the CEECs
Sampling at different frequencies, and the power of panel unit root tests
GLS-detrending and regime-wise stationarity testing in small samples
Deciding between I(1) and I(0)
Inference in a nearly integrated autoregressive model with nonnormal innovations
Testing cointegration in infinite order vector autoregressive processes
A complete class of tests when the likelihood is locally asymptotically quadratic.
Modified unit root tests and momentum threshold autoregressive processes.
Finite-sample properties of modified unit root tests in the presence of structural change.
On adaptive estimation in nonstationary ARMA models with GARCH errors
Empirically relevant critical values for hypothesis tests: A bootstrap approach
Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
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
On the usefulness of cross-validation for directional forecast evaluation
Numerical distribution functions for seasonal unit root tests
Spectral approach to parameter-free unit root testing
Bayesian model selection for unit root testing with multiple structural breaks
A Gini-based unit root test
A time series paradox: unit root tests perform poorly when data are cointegrated
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
International mobility of capital in the United States: robust evidence from time-series tests
The impact of the initial condition on covariate augmented unit root tests
EU emissions trading scheme, competitiveness and carbon leakage: new evidence from cement and steel industries
Portmanteau-type tests for unit-root and cointegration
Bounded integrated processes and unit root tests
The Prebish-Singer hypothesis in the post-colonial era: evidence from panel cointegration
On bootstrap implementation of likelihood ratio test for a unit root
On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
GLS detrending, efficient unit root tests and structural change.
Testing for unit roots with stationary covariates
A momentum-threshold autoregressive unit root test with increased power
Size and power properties of powerful unit root tests in the presence of variance breaks
Asymptotics of tests for a unit root in autoregression
Semi-nonparametric cointegration testing
Nonparametric tests for unit roots and cointegration.
New unit root asymptotics in the presence of deterministic trends.
Efficient tests for unit roots with prediction errors
Implementing unit roost tests in ARMA models of unknown order
The finite-sample performance of robust unit root tests
Alternative methods of detrending and the power of unit root tests
Performance of nonlinear instrumental variable unit root tests using recursive detrending methods
Multiple unit root tests under uncertainty over the initial condition: some powerful modifications
Covariate unit root tests with good size and power
Localized level crossing random walk test robust to the presence of structural breaks
Lag optimisation and finite-sample size distortion of unit root tests
Comparison of panel unit root tests under cross sectional dependence
A threshold cointegration analysis of asymmetric price transmission from crude oil to gasoline prices
On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
The informational value of unemployment statistics: a note on the time series properties of participation rates
A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
GLS detrending and unit root testing
Moving ratio test for multiple changes in persistence
Price dynamics in an exchange economy
Unit root tests in the presence of uncertainty about the non-stochastic trend
Does the labor-income process contain a unit root? Evidence from individual-specific time series
Asymptotic behaviour of tests for a unit root against an explosive alternative
Predicting wheat futures prices in India
Simple tests for stock return predictability with good size and power properties
On the determinants of data breaches: a cointegration analysis
Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
The impact of oil shock on exchange rates in BRICS countries: a Markov switching model
Semiparametric testing with highly persistent predictors
Residual-augmented IVX predictive regression
50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle
Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process
Cointegration in large VARs
Estimation and decomposition of food price inflation risk
Coherence, connectedness, dynamic linkages among oil and China's sectoral commodities with portfolio implications
Global temperatures and greenhouse gases: a common features approach
Point optimal testing with roots that are functionally local to unity
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
Testing-optimal kernel choice in HAR inference
Tests for real and complex unit roots in vector autoregressive models
Detection and attribution of climate change through econometric methods
Hybrid stochastic local unit roots
Semiparametrically point-optimal hybrid rank tests for unit roots
Lag truncation and the local asymptotic distribution of the ADF test for a unit root
On the Markov switching welfare cost of inflation
The effect of recursive detrending on panel unit root tests
Methods of analyzing nonstationary time series with implicit changes in their properties
Purchasing power parity between the UK and Germany: the euro era
Testing the persistence of the forward premium: structural changes or misspecification?
Money, velocity, and the stock market
How should central banks respond to non-neutral inflation expectations?
Alternative estimators and unit root tests for seasonal autoregressive processes
Bootstrap unit root tests in panels with cross-sectional dependency
Low-frequency robust cointegration testing
GLS-based unit root tests for bounded processes
Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures
Tests for cointegration with structural breaks based on subsamples
Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form

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