Testing stationarity and trend stationarity against the unit root hypothesis

DOI10.1080/07474939308800252zbMATH Open0770.62074OpenAlexW2020968000MaRDI QIDQ5285950FDOQ5285950

Shengyi Guo, Herman J. Bierens

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

time seriesweak convergencesmall sample performanceMonte Carlo simulationsasymptotic null distributionunit root hypothesisunivariate time seriesCauchy testsnon-central Cauchy distributiontrend stationarity hypothesis

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Nonlinear Regression with Dependent Observations
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• A functional central limit theorem for weakly dependent sequences of random variables
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing For Unit Roots: 1
• Testing for Unit Roots: 2
• A chi-square test for a unit root

Cited In (13)

• Econometric analysis of linearized singular dynamic stochastic general equilibrium models
• Testing for stationarity in series with a shift in the mean. A Fredholm approach
• Tests for cointegration. A Monte Carlo comparison
• 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
• Deciding between I(1) and I(0)
• Unit root tests and dramatic shifts with infinite variance processes
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• Unit root testing with stationary covariates and a structural break in the trend function
• Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics
• Testing for a unit root against ESTAR stationarity
• Testing the null hypothesis of stationarity against an autoregressive unit root alternative
• Testing for Unit Root Against Stationarity Using the Likelihood Ratio Test

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