The Phillips unit root tests for polynomials of integrated processes revisited

DOI10.1016/J.ECONLET.2018.12.033MaRDI QIDQ1730179zbMATH OpenOpenAlexWikidataFDO

Authors Oliver Stypka, Martin Wagner

Publication date 11 March 2019

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2018.12.033

zbMATH Keywords

integrated processPhillips unit root testspolynomial transformation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• The Phillips unit root tests for polynomials of integrated processes
• Testing for a unit root in time series regression
• Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS

Cites work

• A fixed-b perspective on the Phillips-Perron unit root tests
• Cointegrating polynomial regressions: fully modified OLS estimation and inference
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Testing for a unit root in time series regression
• The Phillips unit root tests for polynomials of integrated processes
• Time Series Regression with a Unit Root

Cited in

(4)

• Modified unit root tests with nuisance parameter free asymptotic distributions
• A fixed-b perspective on the Phillips-Perron unit root tests
• The Phillips unit root tests for polynomials of integrated processes
• Cointegrating polynomial regressions: robustness of fully modified OLS

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