Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection

DOI10.1016/0304-4076(92)90107-3zbMath0803.62100OpenAlexW2032841637MaRDI QIDQ1203088

Alastair R. Hall

Publication date: 4 February 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90107-3

zbMATH Keywords

asymptotic distributionunit root testsDickey-Fuller distributionslocal power propertiesPantula-Hall tests

Mathematics Subject Classification ID

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

Related Items (3)

RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS ⋮ Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing ⋮ Instrumental variable based unit root tests when both ARMA (p,q) orders are chosen to be too large

Uses Software

• nlmdl

Cites Work

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