A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC

DOI10.1017/S0266466609990247zbMath1179.62127OpenAlexW2159310739MaRDI QIDQ3652618

Morten Ørregaard Nielsen

Publication date: 15 December 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466609990247

zbMATH Keywords

tablesvariance ratio test

Mathematics Subject Classification ID

Related Items (11)

Periodic autoregressive models for time series with integrated seasonality ⋮ A nonparametric unit root test under nonstationary volatility ⋮ A family of nonparametric unit root tests for processes driven by infinite variance innovations ⋮ Wavelet variance ratio cointegration test and wavestrapping ⋮ INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES ⋮ Powerful nonparametric seasonal unit root tests ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ The asymptotic size and power of the augmented Dickey–Fuller test for a unit root ⋮ Wavelet energy ratio unit root tests ⋮ On the performance of the variance ratio unit root tests with flexible Fourier form

Uses Software

• Ox

Cites Work

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