Lag Length Selection in DF-GLS Unit Root Tests

DOI10.1080/03610918.2010.508143zbMath1274.62629OpenAlexW2094920236MaRDI QIDQ3072393

Shaowen Wu

Publication date: 3 February 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2010.508143

zbMATH Keywords

time seriesreal exchange ratesunit root testslag length selectionDF-GLS

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• The power of bootstrap and asymptotic tests
• Testing for unit roots in autoregressive-moving average models of unknown order
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Efficient Tests for an Autoregressive Unit Root

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