Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series

DOI10.1111/1467-9892.00095zbMath0906.62084OpenAlexW2059919272MaRDI QIDQ3838308

Hiro Y. Toda, Kosuke Oya

Publication date: 9 August 1998

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00095

zbMATH Keywords

tablescritical valuesunit rootsLagrange multiplier testsDickey-Fuller testcombined test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Approximate Conditional Unit Root Inference ⋮ On LM type tests for seasonal unit roots in quarterly data ⋮ On LM-type tests for seasonal unit roots in the presence of a break in trend ⋮ The discontinuous trend unit root test when the break point is misspecified

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