Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type

DOI10.1016/0165-1765(95)00758-XzbMath0875.62601OpenAlexW2053383746MaRDI QIDQ1351232

Simon P. Burke

Publication date: 27 February 1997

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

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00758-x

zbMATH Keywords

Unit root testLag truncationLong-run variance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Some evidence on the accuracy of Phillips-Perron tests using alternative estimates of nuisance parameter
• Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
• Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type
• Testing for a unit root in time series regression
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Time Series Regression with a Unit Root
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

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