Testing for a unit root in time series regression
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stationaritynuisance parametersweak convergenceBrownian motiontime series modelsSimulationsunit rootasymptotic null distributionsequence of local alternativesheterogeneously distributed dataleast squares regression estimationlocal asymptotic power functionsnoncentral distribution theoryunit root nonstationarity
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)- Stock futures of a flawed market index
- On time series with randomized unit root and randomized seasonal unit root
- Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)
- Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing
- Switching equilibria: the present value model for stock prices revisited
- Pricing and securitization of multi-country longevity risk with mortality dependence
- Semiparametric unit root tests based on symmetric estimators
- Testing for Unit Roots: 2
- The fragility of the KPSS stationarity test
- Size and power of tests of stationarity in highly autocorrelated time series
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
- Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests
- Stability and non-linear dynamics in the broad demand for money in Spain.
- Bayesian unit root test for model with maintained trend
- Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
- Bayesian estimation of fractional difference parameter in ARFIMA models and its application
- A fixed-b perspective on the Phillips-Perron unit root tests
- Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†
- A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE
- Econometric aspects of convergence: a survey
- A Sequential and Iterative Testing Procedure to Identify the Nature of a Time Series Generating Process
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Stochastic linear trends. Models and estimators
- Rational bubbles. A test
- Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum
- Heteroskedastic time series with a unit root
- Linear process bootstrap unit root test
- Spurious Rejections with Endogenous Break Unit Root Tests in the Presence of Outliers and Breaks
- Structural breaks with deterministic and stochastic trends
- A semiparametric cointegrating regression: investigating the effects of age distributions on consumption and saving
- An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
- Pairs trading with partial cointegration
- A wavelet filtering based analysis of macroeconomic indicators: the Indian evidence
- Testing for Unit Roots and Non-linear Transformations
- ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
- The effect of education on fertility in Taiwan: A time series analysis
- On stationary tests in the presence of structural breaks
- Testing for a unit root in an ar(1) model using three and four moment approximations: symmetric distributions
- Limit theorems for the discount sums of moving averages
- Testing for boundary conditions in case of fractionally integrated processes
- Convergence and interdependence between ASEAN-5 stock markets
- Forecasting conditional correlations in stock, bond and foreign exchange markets
- Modelling interstate tourism demand in Australia: A cointegration approach
- Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation
- Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
- Testing for ar(1) against ima(1,1) disturbances in the linear regression model
- Statistical inference for Lee-Carter mortality model and corresponding forecasts
- Unit root testing in integer-valued AR(1) models
- Order selection for possibly infinite-order non-stationary time series
- Some elementary distribution theory for an autoregression fitted to a random walk.
- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
- Testing for a unit root in a stationary ESTAR process
- Testing for unit roots in autoregressive moving average models. An instrumental variable approach
- Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
- Clean energy consumption and economic growth in China: a time-varying analysis
- Long memory, spurious memory: persistence in range-based volatility of exchange rates
- Aggregate consumption spending, the stock market and asymmetric error correction
- Testing for a unit root in an arima(p,1,0) signal observed with ma(q) noise
- A look at the quality of the approximation of the functional central limit theorem
- Unit roots and structural breaks in OECD unemployment
- Nonlinear time series clustering based on Kolmogorov-Smirnov 2D statistic
- Response surface models for the Leybourne unit root tests and lag order dependence
- Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
- Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
- Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
- The Phillips unit root tests for polynomials of integrated processes revisited
- Partially hidden Markov chain multivariate linear autoregressive model: inference and forecasting -- application to machine health prognostics
- The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
- The efficiency of financial futures markets: tests of prediction accuracy.
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Hypothesis testing in a fractional Ornstein-Uhlenbeck model
- Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
- Forecasting inflation in Malaysia
- An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
- International mobility of capital in the United States: robust evidence from time-series tests
- Testing for a trend with persistent errors
- A Unified Inference for Predictive Quantile Regression
- A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
- Testing for unit roots with flow data and varying sampling frequency
- Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
- Panel unit root tests with cross-section dependence: a further investigation
- The usage of bridge estimator to determine the order of integration for possibly integrated series as an alternative to Dickey–Pantula unit root test
- Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
- Near-integration and deterministic trends
- LONG-RUN STRUCTURAL MODELLING
- Unit root tests in panel data: asymptotic and finite-sample properties
- AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY
- Efficient tests for unit roots with prediction errors
- Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
- UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
- ARMA AND ARIMA APPROACHES TO THE UNIT ROOT ANALYSIS OF MACRO ECONOMIC VARIABLES
- scientific article; zbMATH DE number 7578299 (Why is no real title available?)
- A hybrid bootstrap approach to unit root tests
- The finite-sample performance of robust unit root tests
- Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields
- Nearly efficient likelihood ratio tests of the unit root hypothesis
- On wavelet analysis of the nth order fractional Brownian motion
- The effect of seasonal adjustment filters on tests for a unit root (with discussion)
- A Review of Nonparametric Time Series Analysis
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