Covariate unit root tests with good size and power

DOI10.1016/j.csda.2011.05.019zbMath1255.62247OpenAlexW2010357383MaRDI QIDQ1927093

Sebastian Fossati

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://sites.ualberta.ca/~econwps/2011/wp2011-04.pdf

zbMATH Keywords

information criteriaunit root testvector autoregressiontruncation lag

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (4)

Characterising economic trends by Bayesian stochastic model specification search ⋮ A joint test for structural stability and a unit root in autoregressions ⋮ Testing for stationarity with covariates: more powerful tests with non-normal errors ⋮ Unit root testing with stationary covariates and a structural break in the trend function

Cites Work

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• Unit root quantile autoregression testing using covariates
• Unit root testing with stationary covariates and a structural break in the trend function
• A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION
• A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Efficient Tests for an Autoregressive Unit Root

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