Higher-order sample autocorrelations and the unit root hypothesis

DOI10.1016/0304-4076(93)90062-AzbMath0776.62065OpenAlexW1986063574MaRDI QIDQ1801414

Herman J. Bierens

Publication date: 24 November 1993

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90062-a

zbMATH Keywords

covariance functionstationaritylimiting distributionsdetrended time seriesmixing conditionstrend stationaritylag length\(\text{ARIMA}(p,1,q)\) processesdifferenced time serieshigher-order sample autocorrelationsnew tests of the unit root hypothesis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (7)

Econometric analysis of linearized singular dynamic stochastic general equilibrium models ⋮ Nonparametric cointegration analysis ⋮ Sample autocorrelations of nonstationary fractionally integrated series ⋮ Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate ⋮ Identifying Cointegration by Eigenanalysis ⋮ RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES ⋮ Portmanteau-type tests for unit-root and cointegration

Cites Work

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• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for Unit Roots: 2
• Testing for a unit root in time series regression
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
• Testing For Unit Roots: 1
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• Testing for Unit Roots in Seasonal Time Series

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