Testing the unit root hypothesis using generalized range statistics

DOI10.1111/1368-423X.00057MaRDI QIDQ2772841zbMATH OpenFDO

Authors Giuseppe Cavaliere

Publication date 19 February 2002

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

Full work available at URL https://doi.org/10.1111/1368-423X.00057

zbMATH Keywords

long memoryrescaled range statisticsunit root tests

Mathematics Subject Classification ID

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

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Cited in

(6)

• Bounded integrated processes and unit root tests
• Two estimators of the long-run variance: beyond short memory
• LIMITED TIME SERIES WITH A UNIT ROOT
• Asymptotics for unit root tests under Markov regime‐switching
• A Detrended Range Unit Root (DRUR) Test
• Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends

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