The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes

DOI10.1111/1468-0262.00184MaRDI QIDQ4531003zbMATH OpenOpenAlexFDO

Authors Bent Nielsen

Publication date 28 May 2002

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1468-0262.00184

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(10)

• A joint test for structural stability and a unit root in autoregressions
• The empirical process of autoregressive residuals
• Tests against stationary and explosive alternatives in vector autoregressive models
• Analysis of coexplosive processes
• Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
• On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
• THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
• Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
• STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS
• Granger's representation theorem: A closed‐form expression for I(1) processes

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