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

DOI10.1017/S0266466608090191zbMath1277.62213OpenAlexW2162337176MaRDI QIDQ5895096

Patrick Marsh

Publication date: 30 September 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608090191

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (2)

Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends ⋮ TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND

Cites Work

• Marginal likelihood and unit roots
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Ancillaries and conditional inference (with comments and rejoinder)
• THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT
• Constructing Optimal tests on a Lagged dependent variable
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Efficient Tests for an Autoregressive Unit Root

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