Tests for Unit Roots and the Initial Condition

DOI10.1111/1468-0262.00447zbMATH Open1152.62371OpenAlexW2110564849MaRDI QIDQ5472986FDOQ5472986

Authors: Ulrich K. Müller, Graham Elliott

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1468-0262.00447

Recommendations

Power of a Unit-Root Test and the Initial Condition
On testing for unit roots and the initial observation
Minimizing the impact of the initial condition on testing for unit roots
The impact of the initial condition on covariate augmented unit root tests
Unit root tests and structural change when the initial observation is drawn from its unconditional distribution

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

Cited In (90)

BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures
Size and power of tests of stationarity in highly autocorrelated time series
Robust inference in autoregressions with multiple outliers
Cointegration in large VARs
Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
Marginal likelihood and unit roots
The impact of the initial condition on robust tests for a linear trend
Detrending bootstrap unit root tests
Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
Power of a Unit-Root Test and the Initial Condition
Semiparametrically point-optimal hybrid rank tests for unit roots
Semiparametric testing with highly persistent predictors
Testing for unit roots in time series models with non-stationary volatility
Priors for the long run
Unit root testing with slowly varying trends
Asymptotic theory for linear diffusions under alternative sampling schemes
Bootstrap-assisted unit root testing with piecewise locally stationary errors
Modified KPSS tests for near integration
Testing for unit roots in bounded time series
Multiple unit root tests under uncertainty over the initial condition: some powerful modifications
Minimizing the impact of the initial condition on testing for unit roots
COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor
Bayesian analysis of structural credit risk models with microstructure noises
UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
On testing for unit roots and the initial observation
Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests
Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
On the asymptotic distribution of the Dickey Fuller-GLS test statistic
Robust estimation in a nonlinear cointegration model
On trend breaks and initial condition in unit root testing
Unit root inference for non-stationary linear processes driven by infinite variance innovations
Recursive adjustment, unit root tests and structural breaks
The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study
Unit root and cointegrating limit theory when initialization is in the infinite past
A Gini-based unit root test
An infimum coefficient unit root test allowing for an unknown break in trend
Generic results for establishing the asymptotic size of confidence sets and tests
A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
A simple proposal to improve the power of income convergence tests
A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
Improved likelihood ratio tests for cointegration rank in the VAR model
Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations
SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
Initial conditions and stationarity tests
Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
Asymptotically UMP panel unit root tests -- the effect of heterogeneity in the alternatives
Seasonal unit root tests and the role of initial conditions
A robust and practical method of unit root tests
Incidental trends and the power of panel unit root tests
Asymptotic behaviour of tests for a unit root against an explosive alternative
Recursive adjustment for general deterministic components and improved cointegration rank tests
The impact of the initial condition on covariate augmented unit root tests
Bootstrap union tests for unit roots in the presence of nonstationary volatility
Unit root tests for cross-sectionally dependent panels: the influence of observed factors
Robust inference for near-unit root processes with time-varying error variances
TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
Nonlinear IV panel unit root testing under structural breaks in the error variance
Lag length selection for unit root tests in the presence of nonstationary volatility
A class of simple distribution-free rank-based unit root tests
Testing for unit roots in autoregressions with multiple level shifts
Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
Optimal Fractional Dickey–Fuller tests
Fully modified estimation of seasonally cointegrated processes
Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
Testing for unit roots in the presence of uncertainty over both the trend and initial condition
The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
Testing for a trend with persistent errors
THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?
Least absolute deviation estimation for AR(1) processes with roots close to unity
A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
Semiparametrically optimal cointegration test
Unit root test combination via random forests
Dealing with the initial observation in the LM unit root test
Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
Pooled panel unit root tests and the effect of past initialization
On the Use of GLS Demeaning in Panel Unit Root Testing
Bonferroni Type Tests for Return Predictability and the Initial Condition
The sensitivity of robust unit root tests
Powerful unit root tests free of nuisance parameters
On the Performance of Popular Unit-Root Tests Against Various Nonlinear Dynamic Models: A Simulation Study
The available information for invariant tests of a unit root
The power of unit root tests against nonlinear local alternatives
Filtering as a Test of Specification
Unit roots: a selective review of the contributions of Peter C. B. Phillips

This page was built for publication: Tests for Unit Roots and the Initial Condition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5472986)