A simple testing procedure for unit root and model specification

DOI10.1016/j.csda.2016.04.001zbMath1466.62046OpenAlexW2315821819MaRDI QIDQ1659023

Mauro Costantini, Amit Sen

Publication date: 15 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.csda.2016.04.001

zbMATH Keywords

unit rootF-testmodel mis-specificationtrend breaklevel shiftbreak date

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (1)

A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds

Cites Work

• Unit root tests in time series. Volume 1. Key concepts and problems
• On the asymptotic distribution of a simple unit root test for trending and breaking series
• Unit root tests in time series. Volume 2. Extensions and developments
• Further evidence on breaking trend functions in macroeconomic variables
• A joint test for structural stability and a unit root in autoregressions
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance
• New innovational outlier unit root test with a break at an unknown time
• GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Joint hypothesis specification for unit root tests with a structural break

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