Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1)

DOI10.1081/ETC-120023900zbMath1184.62214OpenAlexW1976411624MaRDI QIDQ4414345

Pierre Perron

Publication date: 24 July 2003

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

Full work available at URL: https://doi.org/10.1081/etc-120023900

Mathematics Subject Classification ID

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

Cites Work

• Testing for a unit root in the presence of a variance shift
• Consistent autoregressive spectral estimates
• Distribution theory for unit root tests with conditional heteroskedasticity
• Inference in a nearly integrated autoregressive model with nonnormal innovations
• Further evidence on breaking trend functions in macroeconomic variables
• Unit root tests with a break in innovation variance.
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Efficient Tests for an Autoregressive Unit Root
• Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers

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