Testing the null of stationarity for multiple time series

DOI10.1016/S0304-4076(98)00021-9MaRDI QIDQ1305677zbMATH OpenFDO

Authors V. Pereyra, Byung Chul Ahn, In Choi

Publication date 1999

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4076(98)00021-9

zbMATH Keywords

LM testMultiple time seriesNull of stationerySargan-Bhargava-Durbin-Hausman test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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• Asymptotics for linear processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Integration Versus Trend Stationary in Time Series
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Multiple Time Series Regression with Integrated Processes
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
• Statistical analysis of cointegration vectors
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
• TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• 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?
• Tests of overidentification and predeterminedness in simultaneous equation models
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression

Cited in

(11)

• Testing the stationarity of interest rates using a SUR approach
• Tests for Gaussianity and linearity of multivariate stationary time series
• Testing for stationarity in series with a shift in the mean. A Fredholm approach
• Testing a time series for difference stationarity
• An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks
• Detecting departures from meta-ellipticity for multivariate stationary time series
• Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
• Efficient inference in multivariate fractionally integrated time series models
• Local Asymptotic Distributions of Stationarity Tests
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• TESTS OF COMMON STOCHASTIC TRENDS

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