The finite-sample performance of robust unit root tests

DOI10.1007/BF02926005zbMath1050.62088MaRDI QIDQ1880326

Kai-Uwe Carstensen

Publication date: 22 September 2004

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

tablesnonnormalitypower comparisons

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)

Related Items

M-estimator based unit root tests in the ESTAR framework ⋮ Robust Dickey-Fuller tests based on ranks for time series with additive outliers ⋮ Correcting outliers in GARCH models: a weighted forward approach

Cites Work

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