A consistent test for the null of stationarity against the alternative of a unit root
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Publication:1195085
DOI10.1016/0165-1765(92)90092-DzbMath0775.62333MaRDI QIDQ1195085
Publication date: 5 October 1992
Published in: Economics Letters (Search for Journal in Brave)
Related Items (4)
Tests for cointegration. A Monte Carlo comparison ⋮ Testing for ar(1) against ima(1,1) disturbances in the linear regression model ⋮ Testing for stationarity in series with a shift in the mean. A Fredholm approach ⋮ A cointegration approach to estimating preference parameters
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A chi-square test for a unit root
- A cointegration approach to estimating preference parameters
- Asymptotic Properties of Residual Based Tests for Cointegration
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Distributions involving norms of correlated Gaussian vectors
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