Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation.

DOI10.1016/S0167-9473(98)00100-5zbMath1042.62603MaRDI QIDQ1292221

T. Oke, Johan Lyhagen

Publication date: 20 June 1999

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

Information criteriaPre-testUnit root tests

Mathematics Subject Classification ID

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

Related Items (2)

A joint test for structural stability and a unit root in autoregressions ⋮ Covariate unit root tests with good size and power

Uses Software

• AS 183

Cites Work

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• Estimating the dimension of a model
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Selection of the order of an autoregressive model by Akaike's information criterion
• A NEW WAY TO ESTIMATE ORDERS IN TIME SERIES
• Alternative stratetgies for ‘augmenting’ the dickey-fuller test: size-robustness in the face of pre-testing
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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