The Phillips unit root tests for polynomials of integrated processes

DOI10.1016/J.ECONLET.2011.11.006MaRDI QIDQ429160zbMATH OpenOpenAlexFDO

Authors Martin Wagner

Publication date 26 June 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/37119

zbMATH Keywords

integrated processPhillips unit root testspolynomial transformation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Recommendations

• The Phillips unit root tests for polynomials of integrated processes revisited
• Testing for a unit root in time series regression
• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• Time Series Regression with a Unit Root
• The Fractional Unit Root Distribution

Cites work

• Cointegrating polynomial regressions: fully modified OLS estimation and inference
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• Time Series Regression with a Unit Root

Cited in

(2)

• The Phillips unit root tests for polynomials of integrated processes revisited
• Cointegrating polynomial regressions: fully modified OLS estimation and inference

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