Tests for Unit Roots and the Initial Condition

DOI10.1111/1468-0262.00447MaRDI QIDQ5472986zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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(90)

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

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