Statistical Adequacy and the Testing of Trend Versus Difference Stationarity

DOI10.1081/ETC-120023897MaRDI QIDQ4414344zbMATH OpenFDO

Authors Elena Andreou, Aris Spanos

Publication date 24 July 2003

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/ETC-120023897

Mathematics Subject Classification ID

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

Recommendations

• Fractional integration, trend stationarity and difference stationarity
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
• Trends and random walks in macroeconomic time series
• The Robustness of Trend Stationarity: An Illustration with the Extended Nelson–Plosser Dataset

Cites work

• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A critique of the application of unit root tests
• A simple message for autocorrelation correctors: Don't
• A test for independence based on the correlation dimension
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Further evidence on breaking trend functions in macroeconomic variables
• Generalized autoregressive conditional heteroscedasticity
• Heteroscedasticity in Models with Lagged Dependent Variables
• Heteroskedastic cointegration
• Implicit Alternatives and the Local Power of Test Statistics
• Inference in a nearly integrated autoregressive model with nonnormal innovations
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Misspecification tests, unit roots and level shifts
• Modelling the persistence of conditional variances
• Nonlinearity tests for time series
• Robust Rank Tests of the Unit Root Hypothesis
• Testing for a unit root in time series regression
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Topics in Advanced Econometrics
• Trends and random walks in macroeconomic time series

Cited in

(10)

• Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
• The Robustness of Trend Stationarity: An Illustration with the Extended Nelson–Plosser Dataset
• The Asymptotic Covariance Matrix of the Least Squares Estimator in the Stochastic Linear Regression Model: The Case of Elliptically Symmetric Distribution
• On the properties of the likelihood function of Spanos' conditional t heteroskedastic model
• Nelson-Plosser revisited: the ACF approach
• ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
• Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective
• Asset prices with non-permanent shocks to consumption
• The unit-root revolution revisited: where do non-standard sampling distributions and related conundrums stem from?
• Akaike-type criteria and the reliability of inference: model selection versus statistical model specification

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