Testing for unit roots based on sample autocovariances

DOI10.1093/BIOMET/ASAB034MaRDI QIDQ5081571zbMATH OpenOpenAlexFDO

Authors Jinyuan Chang, Guanghui Cheng, Qiwei Yao

Publication date 17 June 2022

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.07551

zbMATH Keywords

autocovarianceintegrated processnormal approximationpower-one testsample-splitting

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(7)

• Higher-order sample autocorrelations and the unit root hypothesis
• Impact of systematic sampling on causality in the presence of unit roots
• Corrigendum to: ``Testing for unit roots with flow data and varying sampling frequency
• Testing for a unit root under errors with just barely infinite variance
• RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS
• Identifying the Structure of High-Dimensional Time Series via Eigen-Analysis
• Dimension-agnostic change point detection

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