A Lagrange multiplier stationarity test using covariates
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Publication:1927621
DOI10.1016/J.ECONLET.2004.04.021zbMath1255.62252OpenAlexW2054815276MaRDI QIDQ1927621
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.2004.04.021
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)
Related Items (2)
A covariate residual-based cointegration test applied to the CDS-bond basis ⋮ Testing for stationarity with covariates: more powerful tests with non-normal errors
Cites Work
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
- Testing for a unit root in time series regression
- STATIONARITY TESTING WITH COVARIATES
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