Unit root testing based on BLUS residuals

DOI10.1016/J.SPL.2008.01.063MaRDI QIDQ947206zbMATH OpenOpenAlexFDO

Authors Dimitrios V. Vougas

Publication date 29 September 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.01.063

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Residual-Based Block Bootstrap for Unit Root Testing
• Residual‐based block bootstrap unit root testing in the presence of trend breaks
• scientific article; zbMATH DE number 6424126
• Unit Root Tests Based on Instrumental Variables Estimation
• A robust and practical method of unit root tests
• Unit root testing via the stationary bootstrap
• Detrending bootstrap unit root tests
• Testing for a unit root in time series regression

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Note on the Derivation of Theil's Blus Residuals
• A modification of the Schmidt-Phillips unit root test
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• GLS detrending and unit root testing
• On Theil's errors

Cited in

(1)

• On Theil's errors

This page was built for publication: Unit root testing based on BLUS residuals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q947206)