Revisiting unit root testing strategy when presence of deterministic time trend is uncertain
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Cites work
- A simple, robust and powerful test of the trend hypothesis
- Asymptotic inference for nearly nonstationary AR(1) processes
- Asymptotic Normality, When Regressors Have a Unit Root
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Tests for an Autoregressive Unit Root
- scientific article; zbMATH DE number 1911754 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- Inference in a nearly integrated autoregressive model with nonnormal innovations
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- On Bayesian Modeling of Fat Tails and Skewness
- OPTIMAL VERSUS ROBUST INFERENCE IN NEARLY INTEGRATED NON-GAUSSIAN MODELS
- Regression Theory for Near-Integrated Time Series
- ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE “MODIFIED”
- SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
- Testing unit root based on partially adaptive estimation
- The available information for invariant tests of a unit root
- Time Series Regression with a Unit Root
- Towards a unified asymptotic theory for autoregression
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
- Unit root tests in the presence of uncertainty about the non-stochastic trend
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