GLS detrending and unit root testing

DOI10.1016/j.econlet.2007.03.016zbMath1255.62285OpenAlexW2035891992MaRDI QIDQ1934175

Dimitrios V. Vougas

Publication date: 28 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.03.016

zbMATH Keywords

powerautoregressive estimator

Mathematics Subject Classification ID

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

Related Items

Unit root testing based on BLUS residuals

Cites Work

• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Estimating the autocorrelated error model with trended data
• A modification of the Schmidt-Phillips unit root test
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
• Trends versus Random Walks in Time Series Analysis
• Efficient Tests for an Autoregressive Unit Root
• Finite Sample Econometrics
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