The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study
DOI10.1080/03610918.2019.1577967zbMATH Open1489.62274OpenAlexW2941521356MaRDI QIDQ5082591FDOQ5082591
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
Recommendations
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- On the choice of test for a unit root when the errors are conditionally heteroskedastic
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
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- Minimizing the impact of the initial condition on testing for unit roots
- On testing for unit roots and the initial observation
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Testing for unit roots in the presence of uncertainty over both the trend and initial condition
- Power of a Unit-Root Test and the Initial Condition
Cited In (2)
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