Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum

DOI10.1111/j.1467-9892.2010.00652.xzbMath1221.62125OpenAlexW2036245202MaRDI QIDQ5391311

Evangelos E. Ioannidis

Publication date: 6 April 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00652.x

zbMATH Keywords

spectral analysislog-periodogram regressionaugmented Dickey-Fullerautoregressive fit

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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• Non-stationary log-periodogram regression
• Log-periodogram regression of time series with long range dependence
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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