On testing for unit roots and the initial observation

DOI10.1111/j.1368-423X.2005.00154.xzbMath1076.62088MaRDI QIDQ5706722

David I. Harvey, Stephen J. Leybourne

Publication date: 21 November 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00154.x

zbMATH Keywords

weighted average; Dickey-Fuller test; economic time series; GLS detrending; power comparison

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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Cites Work

• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Tests for Unit Roots and the Initial Condition