Unit-roots test for time-series data with a linear time trend

DOI10.1016/0304-4076(91)90104-LzbMATH Open0733.62099OpenAlexW1977360899MaRDI QIDQ809530FDOQ809530

Authors: Saïd E. Saïd 

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90104-l

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zbMATH Keywords

limit distributionpercentilesautoregressive, moving-average modelslinear time trend termtests for nonstationarityTime-series modelsunit-roots test

Mathematics Subject Classification ID

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

Cites Work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Title not available (Why is that?)
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• Estimation for autoregressive processes with unit roots
• Testing for unit roots in autoregressive-moving average models of unknown order
• Title not available (Why is that?)
• Testing For Unit Roots: 1
• Corrigenda: Properties of Predictors for Autoregressive Time Series
• Testing for Unit Roots: 2
• Hypothesis Testing in ARIMA(p, 1, q) Models
• The Order of Differencing in ARIMA Models

Cited In (17)

• Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
• Testing for unit roots in bounded time series
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Title not available (Why is that?)
• Unit root test of autoregressive time series model with partially linear time trend: a Bayesian approach
• A time series model with deterministic trend for an economic rising variable
• Testing for a unit root nonstationarity in multivariate autoregressive time series
• Testing for a unit root in time series regression
• Time Series with Roots on or Near the Unit Circle
• Title not available (Why is that?)
• Power of the Lagrange multiplier test for testing an autoregressive unit root
• Time Series Regression with a Unit Root
• Testing for Deterministic Linear Trend in Time Series
• Unit root bootstrap tests under infinite variance
• Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
• Testing for Linear Trend with Application to Relative Primary Commodity Prices
• Consistent detection of a monotonic trend superposed on a stationary time series

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