Testing stationarity and trend stationarity against the unit root hypothesis

DOI10.1080/07474939308800252MaRDI QIDQ5285950zbMATH OpenOpenAlexFDO

Authors Herman J. Bierens, Shengyi Guo

Publication date 29 June 1993

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939308800252

zbMATH Keywords

asymptotic null distributionCauchy testsMonte Carlo simulationsnon-central Cauchy distributionsmall sample performancetime seriestrend stationarity hypothesisunit root hypothesisunivariate time seriesweak convergence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A chi-square test for a unit root
• A functional central limit theorem for weakly dependent sequences of random variables
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Nonlinear Regression with Dependent Observations
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing For Unit Roots: 1
• Testing for Unit Roots: 2
• Time Series Regression with a Unit Root

Cited in

(19)

• Deciding between I(1) and I(0)
• Nonparametric cointegration analysis
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Testing for stationarity in series with a shift in the mean. A Fredholm approach
• Tests for cointegration. A Monte Carlo comparison
• On the asymptotic power of the likelihood ratio criterion for testing the hypothesis of nonstationarity of an autoregressive series with Cauchy innovations
• Testing for a unit root against ESTAR stationarity
• Testing the null hypothesis of stationarity against an autoregressive unit root alternative
• Econometric analysis of linearized singular dynamic stochastic general equilibrium models
• Unit root testing with stationary covariates and a structural break in the trend function
• Unit root tests and dramatic shifts with infinite variance processes
• A New Test for Nonstationarity Against the Stable Alternative
• Testing for Unit Root Against Stationarity Using the Likelihood Ratio Test
• Testing for a unit root in noncausal autoregressive models
• Linear cointegration of nonlinear time series with an application to interest rate dynamics
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• Testing for a unit root in time series regression
• Robust inference for near-unit root processes with time-varying error variances
• Structural changes and unit roots in non-stationary time series

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