Alternative methods of detrending and the power of unit root tests

DOI10.1016/0304-4076(94)01702-6zbMath0850.62664OpenAlexW2024853653MaRDI QIDQ1915448

Yanyan Li

Publication date: 17 July 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01702-6

Mathematics Subject Classification ID

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

Related Items

Implementing unit roost tests in ARMA models of unknown order ⋮ Unit root testing ⋮ Comparison of panel unit root tests under cross sectional dependence ⋮ A sequential procedure for testing the existence of a random walk model in finite samples ⋮ Unit root inference in panel data models where the time‐series dimension is fixed: a comparison of different tests ⋮ An invariant sign test for random walks based on recursive median adjustment ⋮ Recursive mean adjustment and tests for nonstationarities ⋮ Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples ⋮ Efficient tests for unit roots with prediction errors

Cites Work

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