Testing stationarity and trend stationarity against the unit root hypothesis
From MaRDI portal
Publication:5285950
DOI10.1080/07474939308800252zbMath0770.62074OpenAlexW2020968000MaRDI QIDQ5285950
Shengyi Guo, Herman J. Bierens
Publication date: 29 June 1993
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939308800252
weak convergencetime seriesMonte Carlo simulationssmall sample performanceasymptotic null distributionunit root hypothesisunivariate time seriesCauchy testsnon-central Cauchy distributiontrend stationarity hypothesis
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
Econometric analysis of linearized singular dynamic stochastic general equilibrium models ⋮ Deciding between I(1) and I(0) ⋮ Unit root tests and dramatic shifts with infinite variance processes ⋮ Nonparametric cointegration analysis ⋮ Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate ⋮ Tests for cointegration. A Monte Carlo comparison ⋮ Testing for stationarity in series with a shift in the mean. A Fredholm approach ⋮ Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics
Cites Work
- Unnamed Item
- A chi-square test for a unit root
- A functional central limit theorem for weakly dependent sequences of random variables
- Local asymptotic distribution related to the AR(1) model with dependent errors
- Nonlinear Regression with Dependent Observations
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing for Unit Roots: 2
- Testing for a unit root in time series regression
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Testing For Unit Roots: 1
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Time Series Regression with a Unit Root
