An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy

DOI10.1111/1368-423X.12016zbMath1104.62334MaRDI QIDQ4415853

Publication date: 7 August 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (12)

UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION ⋮ Unit root testing ⋮ Detrending Bootstrap Unit Root Tests ⋮ Analytical evaluation of the power of tests for the absence of cointegration ⋮ A sequential procedure for testing the existence of a random walk model in finite samples ⋮ Bootstrapping I(1) data ⋮ Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples ⋮ Lag truncation and the local asymptotic distribution of the ADF test for a unit root ⋮ TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 ⋮ New unit root asymptotics in the presence of deterministic trends. ⋮ Efficient tests for unit roots with prediction errors ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS

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