On the Robustness of Unit Root Tests in the Presence of Double Unit Roots

DOI10.1111/1467-9892.00260zbMath1062.62180OpenAlexW3124512136MaRDI QIDQ4677001

Peter Lildholdt, Niels Haldrup

Publication date: 20 May 2005

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

Full work available at URL: https://escholarship.org/uc/item/2k0780sh

zbMATH Keywords

unit root testsPhillips-Perron testDickey-Fuller test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items

The impact of fat-tailed distributions on some leading unit roots tests ⋮ A residual-based ADF test for stationary cointegration in I(2) settings

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