Testing for a unit root in time series regression
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asymptotic null distributionBrownian motionheterogeneously distributed dataleast squares regression estimationlocal asymptotic power functionsnoncentral distribution theorynuisance parameterssequence of local alternativesSimulationsstationaritytime series modelsunit rootunit root nonstationarityweak convergence
Recommendations
- 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?
- Testing stationarity and trend stationarity against the unit root hypothesis
- Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
- Unit-roots test for time-series data with a linear time trend
- On the Theory of Testing for Unit Roots in Observed Time Series
Cited in
(only showing first 100 items - show all)- Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices
- A note on the self-normalized Dickey-Fuller test for unit roots in autoregressive time series with GARCH errors
- Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
- On time series model selection involving many candidate ARMA models
- Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
- Unit root tests based on IV estimators for time series with multiple breaks
- On the properties of the Dickey-Pantula test against fractional alternatives
- Testing for a unit root in the presence of a variance shift
- Unit root tests for time series with outliers
- Testing for unit roots in autoregressive moving average models. An instrumental variable approach
- A modification of the Schmidt-Phillips unit root test
- Aggregate price indexes, cointegration, and tests of the purchasing power parity hypothesis
- Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
- The KPSS stationarity test as a unit root test
- Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
- The effect of seasonal adjustment filters on tests for a unit root (with discussion)
- Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
- Some tests for unit roots in seasonal time series with deterministic trends
- A simple multiple variance ratio test
- Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation.
- Tests for cointegration with infinite variance errors
- Inference for unit roots in dynamic panels where the time dimension is fixed
- Distribution theory for unit root tests with conditional heteroskedasticity
- LM tests for unit roots in the presence of missing observations: Small sample evidence
- Structural relations, cointegration and identification: Some simple results and their application
- Spurious regression and residual-based tests for cointegration in panel data
- Some results on testing for stationarity using data detrended in differences
- Testing for a unit root by frequency domain regression
- A note on testing for a unit root in an \(\text{ARIMA}(p,1,0)\) signal observed with \(\text{MA}(q)\) noise
- Unit root tests for \(\text{ARIMA}(0,1,q)\) models with irregularly observed samples
- The sample autocorrelation function of I(1) processes
- A cointegration test of the optimal seigniorage model
- On the power of unit root tests against fractional alternatives
- Is there a unit root in U.S. real GNP?
- Local asymptotic distribution related to the AR(1) model with dependent errors
- Prewhitened unit root test
- The foreign exchange market efficiency hypothesis. Revisiting the puzzle
- Temporal aggregation and the power of tests for a unit root
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
- Statistical inference in vector autoregressions with possibly integrated processes
- A numerical Bayesian test for cointegration of AR processes
- International evidence on the cyclical behavior of inflation
- Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
- P-Values for non-standard distributions with an application to the DF test
- Testing for unit roots in flow data sampled at different frequencies
- Tests of stationarity against a change in persistence
- Modified tests for a change in persistence
- On tests for changes in persistence
- Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
- Estimation and inference in nearly unbalanced nearly cointegrated systems
- Nonparametric cointegration analysis
- Near-integration and deterministic trends
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- Rank tests for unit roots
- Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
- The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
- F-test for seasonal differencing with a break-point
- Semiparametric unit root tests based on symmetric estimators
- The effect of education on fertility in Taiwan: A time series analysis
- On stationary tests in the presence of structural breaks
- On the relationship between aggregate merger activity and the stock market: some further empirical evidence
- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- Estimating fractional cointegration in the presence of polynomial trends
- Price discovery, causality and forecasting in the freight futures market
- Modelling the asymmetric volatility of electronics patents in the USA.
- Testing for stationarity in series with a shift in the mean. A Fredholm approach
- The efficiency of financial futures markets: tests of prediction accuracy.
- Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
- Nonstationary time series with a close alternative hypothesis: Locally asymptotic distribution of the likelihood ratio
- Structural breaks, unit roots and methods for removing the autocorrelation pattern
- Adjusted estimates and Wald statistics for the AR(1) model with constant
- Unit root and stationarity tests' wedding
- Unit root testing in integer-valued AR(1) models
- Semiparametric tests for seasonal unit roots based on a semiparametric feasible GLSE
- Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
- A look at the quality of the approximation of the functional central limit theorem
- Unit roots and structural breaks in OECD unemployment
- Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative
- On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
- Non performing loans (NPLs) in a crisis economy: long-run equilibrium analysis with a real time VEC model for Greece (2001--2015)
- Characterising economic trends by Bayesian stochastic model specification search
- Interdependencies between CDS spreads in the European union: is Greece the black sheep or black swan?
- The univariate MT-STAR model and a new linearity and unit root test procedure
- Numerical distribution functions for seasonal unit root tests
- Stationary bootstrapping for semiparametric panel unit root tests
- Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations
- Coping with demand volatility in retail pharmacies with the aid of big data exploration
- Asset prices with non-permanent shocks to consumption
- A simple testing procedure for unit root and model specification
- Spectral approach to parameter-free unit root testing
- Bayesian model selection for unit root testing with multiple structural breaks
- A nonparametric unit root test under nonstationary volatility
- A discrete model for bootstrap iteration
- Extended tabulations for Dickey-Fuller tests
- An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
- Tapered block bootstrap for unit root testing
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- International mobility of capital in the United States: robust evidence from time-series tests
- Linear process bootstrap unit root test
- The Phillips unit root tests for polynomials of integrated processes revisited
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