Unit root tests in the presence of uncertainty about the non-stochastic trend

DOI10.1016/S0304-4076(99)00030-5zbMath1125.62330WikidataQ127571363 ScholiaQ127571363MaRDI QIDQ1971787

Leila Ayat, Peter Burridge

Publication date: 23 March 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Related Items (9)

UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION ⋮ Unit root testing ⋮ Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices ⋮ A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment ⋮ Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification ⋮ 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 ⋮ 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 ⋮ The effect of recursive detrending on panel unit root tests ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS

Cites Work

• Unnamed Item
• A note on the power of least squares tests for a unit root
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Integration Versus Trend Stationary in Time Series
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• Efficient Tests for an Autoregressive Unit Root

This page was built for publication: Unit root tests in the presence of uncertainty about the non-stochastic trend