Lag optimisation and finite-sample size distortion of unit root tests

DOI10.1016/j.econlet.2004.02.010zbMath1255.62239OpenAlexW2030228075MaRDI QIDQ1927551

Neil Manning, Steven Cook

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.02.010

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

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Cites Work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• 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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