The Phillips unit root tests for polynomials of integrated processes

DOI10.1016/j.econlet.2011.11.006zbMath1252.91070OpenAlexW2034287698MaRDI QIDQ429160

Martin Wagner

Publication date: 26 June 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/37119

zbMATH Keywords

integrated processPhillips unit root testspolynomial transformation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Related Items (2)

COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE ⋮ The Phillips unit root tests for polynomials of integrated processes revisited

Cites Work

• COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• Time Series Regression with a Unit Root

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