A modification of the Schmidt-Phillips unit root test

DOI10.1016/0165-1765(91)90034-IzbMath0800.62533OpenAlexW2073986486MaRDI QIDQ1189336

Junsoo Lee, Peter Schmidt

Publication date: 26 September 1992

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

Full work available at URL: https://doi.org/10.1016/0165-1765(91)90034-i

Mathematics Subject Classification ID

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

Related Items (14)

Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends ⋮ On LM type tests for seasonal unit roots in quarterly data ⋮ AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD ⋮ Seasonal Unit Root Tests Under Structural Breaks* ⋮ Rank tests for unit roots ⋮ Alternative methods of detrending and the power of unit root tests ⋮ GLS detrending and unit root testing ⋮ New Improved Tests for Cointegration with Structural Breaks ⋮ Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures^† ⋮ LM threshold unit root tests ⋮ Improved likelihood ratio tests for cointegration rank in the VAR model ⋮ Unit root testing based on BLUS residuals ⋮ On LM-type tests for seasonal unit roots in the presence of a break in trend ⋮ LM tests for unit roots in the presence of missing observations: Small sample evidence

Cites Work

• Testing for a unit root in time series regression
• Integration Versus Trend Stationary in Time Series

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