Unit root tests in time series. Volume 2. Extensions and developments

MaRDI QIDQ482830zbMATH OpenFDO

Authors Kerry D. Patterson

Publication date 6 January 2015

Published in Palgrave Texts in Econometrics (Search for Journal in Brave)

zbMATH Keywords

nonlinear time seriesstructural breakslong-memory time seriesDickey-Fuller teststarionarity of time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07) Stationary stochastic processes (60G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

Recommendations

• Unit root tests in time series. Volume 1. Key concepts and problems
• On the Theory of Testing for Unit Roots in Observed Time Series
• Pfriodograms of unit root time series: distributions and tests
• Unit Root Tests under Time-Varying Variances
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Testing for Unit Roots: 2

Cited in

(5)

• Semiparametrically point-optimal hybrid rank tests for unit roots
• Unit root tests in time series. Volume 1. Key concepts and problems
• Pfriodograms of unit root time series: distributions and tests
• A simple testing procedure for unit root and model specification
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models

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