A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS

DOI10.1017/S0266466612000485zbMath1274.62334OpenAlexW2037457467MaRDI QIDQ2845024

Martin Wagner, Timothy J. Vogelsang

Publication date: 22 August 2013

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466612000485

zbMATH Keywords

deterministic trendsfinite-sample simulation studyfixed-\(b\) asymptotic theorynonparametric Phillips-Perron unit root tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

A noisy principal component analysis for forward rate curves ⋮ The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity ⋮ The Phillips unit root tests for polynomials of integrated processes revisited ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions ⋮ Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ Nonparametric rank tests for non-stationary panels

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Asymptotics for linear processes
• Consistent autoregressive spectral estimates
• Inference in Linear Time Series Models with some Unit Roots
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
• Towards a unified asymptotic theory for autoregression
• Automatic Lag Selection in Covariance Matrix Estimation
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

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