GLS-detrending and regime-wise stationarity testing in small samples

DOI10.1016/J.ECONLET.2009.04.009zbMath1181.62141OpenAlexW2079276943MaRDI QIDQ1046223

Claude Lopez

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2009.04.009

zbMATH Keywords

powerunit rootstructural changesGLS-detrending

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Testing for a unit root in variables with a double change in the mean
• The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
• TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
• Efficient Tests for an Autoregressive Unit Root

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