Multiple unit root tests under uncertainty over the initial condition: some powerful modifications

DOI10.1007/s00362-011-0379-0zbMath1416.62464OpenAlexW2170618361MaRDI QIDQ1926094

Christoph Hanck

Publication date: 27 December 2012

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

Full work available at URL: https://doi.org/10.1007/s00362-011-0379-0

zbMATH Keywords

unit root testsmultiple testingmeta test

Mathematics Subject Classification ID

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

Cites Work

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• Heteroscedasticity in non-stationary time series, some Monte Carlo evidence
• Combining non-cointegration tests
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• On the Theory of Testing for Unit Roots in Observed Time Series
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition
• COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor