Testing unit root based on partially adaptive estimation

DOI10.2202/1941-1928.1038MaRDI QIDQ4928517zbMATH OpenOpenAlexFDO

Authors Luiz Renato Lima, Zhijie Xiao

Publication date 14 June 2013

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

Full work available at URL http://hdl.handle.net/10438/887

zbMATH Keywords

M-estimationrobustness

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Recommendations

• UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION
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• Testing for a unit root in time series regression

Cited in

(1)

• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS

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