On trend breaks and initial condition in unit root testing

DOI10.1515/jtse-2016-0014zbMath1499.62291OpenAlexW3122211461MaRDI QIDQ1695693

Anton Skrobotov

Publication date: 7 February 2018

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

Full work available at URL: http://www.iep.ru/files/RePEc/gai/wpaper/0097Skrobotov.pdf

zbMATH Keywords

unit root testpre-testingasymptotic local powerlocal trend breakinfimum Dickey-Fuller testsunion of rejection

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)

Cites Work

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• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
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• Recursive adjustment, unit root tests and structural breaks
• The impact of the initial condition on robust tests for a linear trend
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
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• Power of a Unit-Root Test and the Initial Condition
• TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
• GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
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• Tests for Unit Roots and the Initial Condition
• Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
• On testing for unit roots and the initial observation

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