Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
From MaRDI portal
Publication:4887199
DOI10.2307/2297890zbMath0872.62085OpenAlexW2041002871MaRDI QIDQ4887199
Publication date: 7 November 1996
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1866/2117
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
Related Items
On the asymptotic behaviour of unit-root tests in the presence of a Markov trend ⋮ A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION ⋮ The finite-sample performance of robust unit root tests ⋮ A Strongly Consistent Criterion to Decide Between I(1) and I(0) Processes Based on Different Convergence Rates ⋮ Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type ⋮ Estimation and inference in nearly unbalanced nearly cointegrated systems ⋮ The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors ⋮ Modified unit root tests with nuisance parameter free asymptotic distributions ⋮ Phillips-Perron-type unit root tests in the nonlinear ESTAR framework ⋮ A new approach to unit root testing ⋮ Nonlinear IV panel unit root testing under structural breaks in the error variance ⋮ Spurious regression ⋮ Testing the persistence of the forward premium: structural changes or misspecification? ⋮ Bootstrap point optimal unit root tests ⋮ Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain ⋮ Testing for unit roots in time series models with non-stationary volatility ⋮ A sequential procedure for testing the existence of a random walk model in finite samples ⋮ Testing for boundary conditions in case of fractionally integrated processes ⋮ Linear process bootstrap unit root test ⋮ Testing for a trend with persistent errors ⋮ BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS ⋮ The fast iterated bootstrap ⋮ Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors ⋮ Testing for a unit root under errors with just barely infinite variance ⋮ SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS ⋮ Understanding the effect of technology shocks in SVARs with long-run restrictions ⋮ Cointegration testing under structural change: reducing size distortions and improving power of residual based tests ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES ⋮ Behavior of the Size in the Unit Root Testing Under Contamination ⋮ PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION ⋮ Local power of consistent tests for serial correlation against the nearly integrated, nearly white noise process ⋮ Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1) ⋮ Finite sample behaviour of the level shift model using quasi-differenced data ⋮ Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility ⋮ Testing for unit roots in bounded time series ⋮ Response surface models for the Leybourne unit root tests and lag order dependence ⋮ Modelling risk in agricultural finance: Application to the poultry industry in Taiwan ⋮ Simple tests for stock return predictability with good size and power properties ⋮ Nonlinear Models of Convergence ⋮ A Parametric approach to the Estimation of Cointegration Vectors in Panel Data ⋮ On the distributions of augmented Dickey-Fuller statistics in processes with moving average components ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ GLS detrending, efficient unit root tests and structural change. ⋮ BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY ⋮ BootstrapMUnit Root Tests ⋮ THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS ⋮ ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR ⋮ Reducing the size distortion of the KPSS test ⋮ Unit root tests and structural change when the initial observation is drawn from its unconditional distribution ⋮ ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT ⋮ A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS ⋮ Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density ⋮ Nonparametric rank tests for non-stationary panels ⋮ A look at the quality of the approximation of the functional central limit theorem ⋮ Nonparametric tests for unit roots and cointegration. ⋮ Efficient tests for unit roots with prediction errors ⋮ The fragility of the KPSS stationarity test ⋮ UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS ⋮ Measurement errors and outliers in seasonal unit root testing
