Unit-roots test for time-series data with a linear time trend

DOI10.1016/0304-4076(91)90104-LMaRDI QIDQ809530zbMATH OpenOpenAlexFDO

Authors Saïd E. Saïd

Publication date 1991

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

Full work available at URL https://doi.org/10.1016/0304-4076(91)90104-l

zbMATH Keywords

limit distributionpercentilesautoregressive, moving-average modelslinear time trend termtests for nonstationarityTime-series modelsunit-roots test

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Corrigenda: Properties of Predictors for Autoregressive Time Series
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimation for autoregressive processes with unit roots
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Testing For Unit Roots: 1
• Testing for Unit Roots: 2
• Testing for unit roots in autoregressive-moving average models of unknown order
• The Order of Differencing in ARIMA Models
• Time Series Regression with a Unit Root

Cited in

(17)

• A time series model with deterministic trend for an economic rising variable
• Power of the Lagrange multiplier test for testing an autoregressive unit root
• scientific article; zbMATH DE number 1747148 (Why is no real title available?)
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• Testing for Linear Trend with Application to Relative Primary Commodity Prices
• Time Series Regression with a Unit Root
• scientific article; zbMATH DE number 6951434 (Why is no real title available?)
• Testing for a unit root nonstationarity in multivariate autoregressive time series
• Testing for Deterministic Linear Trend in Time Series
• Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
• Consistent detection of a monotonic trend superposed on a stationary time series
• Unit root test of autoregressive time series model with partially linear time trend: a Bayesian approach
• Testing for a unit root in time series regression
• Time Series with Roots on or Near the Unit Circle
• Testing for unit roots in bounded time series
• Some tests for unit roots in autoregressive-integrated-moving average models with deterministic trends
• Unit root bootstrap tests under infinite variance

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