Testing for unit roots based on sample autocovariances

DOI10.1093/BIOMET/ASAB034OpenAlexW3176852074MaRDI QIDQ5081571FDOQ5081571

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

normal approximationautocovariancesample-splittingintegrated processpower-one test

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (5)

• Corrigendum to: ``Testing for unit roots with flow data and varying sampling frequency
• RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS
• Higher-order sample autocorrelations and the unit root hypothesis
• Impact of systematic sampling on causality in the presence of unit roots
• Testing for a unit root under errors with just barely infinite variance

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