The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study

DOI10.1080/03610918.2019.1577967MaRDI QIDQ5082591zbMATH OpenOpenAlexFDO

Authors H. Ferrer-Pérez, M. I. Ayuda, A. Aznar

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1577967

zbMATH Keywords

sensitivityMonte Carlo simulationsunit rootinitial conditionlag length

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Lag length selection for unit root tests in the presence of nonstationary volatility
• Lag optimisation and finite-sample size distortion of unit root tests
• Lag length selection in DF-GLS unit root tests
• The sensitivity of robust unit root tests
• Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
• Multiple unit root tests under uncertainty over the initial condition: some powerful modifications
• On the choice of test for a unit root when the errors are conditionally heteroskedastic
• On testing for unit roots and the initial observation

Cites work

• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Minimizing the impact of the initial condition on testing for unit roots
• On testing for unit roots and the initial observation
• Power of a Unit-Root Test and the Initial Condition
• Recursive mean adjustment for unit root tests
• Testing for unit roots in the presence of uncertainty over both the trend and initial condition
• Tests for Unit Roots and the Initial Condition
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

Cited in

(2)

• Using influence function for lag truncation in unit root tests
• Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type

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