Efficient Tests for an Autoregressive Unit Root

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Cited in

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A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT
Modeling assets and liabilities of a finnish pension insurance company: a VEqC approach
Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
Lag truncation and the local asymptotic distribution of the ADF test for a unit root
Size and power of tests of stationarity in highly autocorrelated time series
LIMITED TIME SERIES WITH A UNIT ROOT
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures
Size and power properties of powerful unit root tests in the presence of variance breaks
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
On the Transmission of Memory in Garch‐in‐Mean Models
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
Co-integration testing using local-to-unity detrending: the impact of structural change under the null
Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum
Heteroskedastic time series with a unit root
Forecasting the industrial production using alternative factor models and business survey data
Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks
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
A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
A likelihood based estimator for vector autoregressive processes
Cointegration in large VARs
Robust inference in autoregressions with multiple outliers
Efficient tests of the seasonal unit root hypothesis
ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
The suitability of a monetary union in east Asia: what does the cointegration approach tell?
Empirically relevant critical values for hypothesis tests: A bootstrap approach
Does the labor-income process contain a unit root? Evidence from individual-specific time series
Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
On the usefulness of cross-validation for directional forecast evaluation
Clean energy consumption and economic growth in China: a time-varying analysis
A Panel Unit Root Test with Good Power in Small Samples
Modeling movements in individual consumption: a time-series analysis of grouped data
Response surface models for the Leybourne unit root tests and lag order dependence
Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
GLS-based unit root tests for bounded processes
The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL
The robustness of modified unit root tests in the presence of GARCH
NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
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
International mobility of capital in the United States: robust evidence from time-series tests
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
A Unified Inference for Predictive Quantile Regression
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
Price dynamics in an exchange economy
A simple, robust and powerful test of the trend hypothesis
Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
Efficient tests for unit roots with prediction errors
Robust Sign Test for the Unit Root Hypothesis of Autoregression
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A hybrid bootstrap approach to unit root tests
The impact of the initial condition on robust tests for a linear trend
GLS detrending and unit root testing
The finite-sample performance of robust unit root tests
Nearly efficient likelihood ratio tests of the unit root hypothesis
Detection and attribution of climate change through econometric methods
Testing for unit roots in time series models with non-stationary volatility
Residual-augmented IVX predictive regression
Semiparametric testing with highly persistent predictors
Semiparametrically point-optimal hybrid rank tests for unit roots
Market-Wide Commonality in Liquidity on the CEE-3 Emerging Stock Markets
The simple macroeconometrics of the quantity theory and the welfare cost of inflation
AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
Detrending bootstrap unit root tests
Testing-optimal kernel choice in HAR inference
Power of a Unit-Root Test and the Initial Condition
THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
Stochastic local and moderate departures from a unit root and its application to unit root testing
How does economic policy uncertainty respond to permanent and transitory shocks?
On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
Convergence rates of sums of \(\alpha\)-mixing triangular arrays: with an application to nonparametric drift function estimation of continuous-time processes
Implementing unit roost tests in ARMA models of unknown order
The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
THE ET INTERVIEW: PROFESSOR MAX KING
Point optimal testing with roots that are functionally local to unity
Unit roots, level shifts, and trend breaks in per capita output: a robust evaluation
Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
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
Confidence intervals for autoregressive coefficients near one
Nonparametric nonstationarity tests
Hybrid stochastic local unit roots
On the asymptotic distribution of a unit root test against ESTAR alternatives
Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models
50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle
Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach
On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
A Detrended Range Unit Root (DRUR) Test
Examination of Some More Powerful Modifications of the Dickey–Fuller Test

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