Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
DOI10.1111/J.1368-423X.2006.00183.XzbMATH Open1119.62119MaRDI QIDQ5488514FDOQ5488514
Authors: Hui Liu, Gabriel Rodríguez 
Publication date: 22 September 2006
Published in: Econometrics Journal (Search for Journal in Brave)
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tablespower envelopestructural changeunit rootinitial conditionGLS detrendingfeasible optimal point test
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
Cites Work
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
- Further evidence on breaking trend functions in macroeconomic variables
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Tests for Unit Roots and the Initial Condition
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- On the Theory of Testing for Unit Roots in Observed Time Series
- GLS detrending, efficient unit root tests and structural change.
Cited In (3)
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