The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study

DOI10.1080/03610918.2019.1577967zbMath1489.62274OpenAlexW2941521356MaRDI QIDQ5082591

M. I. Ayuda, H. Ferrer-Pérez, A. Aznar

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1577967

zbMATH Keywords

sensitivityMonte Carlo simulationsunit rootinitial conditionlag length

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Unnamed Item
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• Estimating the dimension of a model
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
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• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Power of a Unit-Root Test and the Initial Condition
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition
• On testing for unit roots and the initial observation

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