Testing for unit roots in the presence of uncertainty over both the trend and initial condition

DOI10.1016/j.jeconom.2012.01.018zbMath1443.62229OpenAlexW2090141081MaRDI QIDQ527994

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor

Publication date: 12 May 2017

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

Full work available at URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/08-03.pdf

zbMATH Keywords

asymptotic powerunit root testinitial condition uncertaintytrend uncertaintyunion of rejections decision rule

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites Work

• A simple, robust and powerful test of the trend hypothesis
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition