On the asymptotic distribution of the Dickey Fuller-GLS test statistic

DOI10.1080/02331888.2013.835815zbMath1305.62086OpenAlexW2153940573MaRDI QIDQ2934855

Joakim Westerlund

Publication date: 22 December 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2013.835815

zbMATH Keywords

asymptotic distributionunit root testGLS detrendingasymptotic local powermethod of proof

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Robust Dickey-Fuller tests based on ranks for time series with additive outliers ⋮ Lag truncation and the local asymptotic distribution of the ADF test for a unit root ⋮ The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending

Cites Work

• Asymptotics for linear processes
• Testing for unit roots with stationary covariates
• Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
• 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
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Tests for Unit Roots and the Initial Condition

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