Unit root testing based on BLUS residuals

DOI10.1016/j.spl.2008.01.063zbMath1147.62371OpenAlexW1993719901MaRDI QIDQ947206

Dimitrios V. Vougas

Publication date: 29 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.01.063

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A modification of the Schmidt-Phillips unit root test
• GLS detrending and unit root testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• A Note on the Derivation of Theil's Blus Residuals
• Efficient Tests for an Autoregressive Unit Root
• On Theil's errors