Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
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Publication:5488514
DOI10.1111/j.1368-423X.2006.00183.xzbMath1119.62119MaRDI QIDQ5488514
Publication date: 22 September 2006
Published in: The Econometrics Journal (Search for Journal in Brave)
tables; unit root; initial condition; structural change; power envelope; GLS detrending; feasible optimal point test
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
Cites Work
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Further evidence on breaking trend functions in macroeconomic variables
- GLS detrending, efficient unit root tests and structural change.
- On the Theory of Testing for Unit Roots in Observed Time Series
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- Tests for Unit Roots and the Initial Condition