A comparison of alternative unit root tests

DOI10.1080/0266476052000330286zbMath1121.62388OpenAlexW2136874996MaRDI QIDQ3591967

George E. Halkos, Ilias S. Kevork

Publication date: 11 September 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0266476052000330286

zbMATH Keywords

Monte Carlo simulationsunit root teststype I errorpower of the test

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

A sequential procedure for testing the existence of a random walk model in finite samples

Cites Work

• Fractional integration and the augmented Dickey--Fuller test
• On the power of unit root tests against fractional alternatives
• A Note on the Generation of Random Normal Deviates
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• The behaviour of Dickey–Fuller and Phillips–Perron testsunder the alternative hypothesis

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