Unit root testing
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Recommendations
- Comparison of unit root tests for time series with level shifts
- Testing for a unit root in time series regression
- Unit root tests for time series with level shifts: a comparison of different proposals.
- Testing for unit roots in autoregressions with multiple level shifts
- Unit root tests and dramatic shifts with infinite variance processes
Cites work
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- A Note on Trend Removal Methods: The Case of Polynomial Regression versus Variate Differencing
- A note on the power of least squares tests for a unit root
- Alternative methods of detrending and the power of unit root tests
- An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
- Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Comparison of unit root tests for time series with level shifts
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Effect of neglected deterministic seasonality on unit root tests
- Efficient Tests for an Autoregressive Unit Root
- Examination of Some More Powerful Modifications of the Dickey–Fuller Test
- Functional central limit theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data
- Hypothesis Testing in ARIMA(p, 1, q) Models
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- On the power of unit root tests against fractional alternatives
- RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
- Recursive mean adjustment for unit root tests
- Seasonal integration and cointegration
- Spurious Periodicity in Inappropriately Detrended Time Series
- Spurious regressions in econometrics
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
- Testing For Unit Roots: 1
- Testing for Unit Roots: 2
- Testing for a unit root in time series regression
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing for unit roots in time series with level shifts
- Testing the autoregressive parameter with the t statistic
- Testing the constancy of regression parameters against continuous structural change
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Testing the random walk hypothesis: power versus frequency of observation
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Time Series Regression with a Unit Root
- Towards a unified asymptotic theory for autoregression
- Trends and random walks in macroeconomic time series
- Trends versus Random Walks in Time Series Analysis
- Understanding spurious regressions in econometrics
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Unit root tests in the presence of uncertainty about the non-stochastic trend
- Unit roots and smooth transitions
- Unit‐root testing against the alternative hypothesis of up to m structural breaks
Cited in
(17)- Testing a Unit Root Based on Aggregate Time Series
- Point optimal testing with roots that are functionally local to unity
- Unit root test combination via random forests
- Rank tests for unit roots
- Testing For Common Roots
- Unit root tests and dramatic shifts with infinite variance processes
- Structural change and unit root econometrics
- A note on the geometry and power of unit root tests
- A Detrended Range Unit Root (DRUR) Test
- Unit root tests for time series with level shifts: a comparison of different proposals.
- On unit root tests in the presence of transitional growth
- Unit roots: a selective review of the contributions of Peter C. B. Phillips
- Unit-root detection allowing for measurement error
- Time Series with Roots on or Near the Unit Circle
- Unit root tests in time series. Volume 1. Key concepts and problems
- A comparison of alternative unit root tests
- Ratio tests of a unit root
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