The impact of the initial condition on covariate augmented unit root tests

DOI10.1515/jtse-2015-0013zbMath1499.62288OpenAlexW2319388561WikidataQ64350093 ScholiaQ64350093MaRDI QIDQ1695682

Stephen J. Leybourne, David I. Harvey, Chrystalleni Aristidou

Publication date: 7 February 2018

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

Full work available at URL: http://eprints.nottingham.ac.uk/32655/

zbMATH Keywords

unit root testsasymptotic powerinitial condition uncertaintystationary covariates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

The impact of the initial condition on covariate augmented unit root tests, The role of information in nonstationary regression

Cites Work

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