Unit root tests and structural change when the initial observation is drawn from its unconditional distribution

DOI10.1111/j.1368-423X.2006.00183.xzbMath1119.62119MaRDI QIDQ5488514

Hui Liu, Gabriel Rodríguez

Publication date: 22 September 2006

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

zbMATH Keywords

tablesunit rootinitial conditionstructural changepower envelopeGLS detrendingfeasible optimal point test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

On trend breaks and initial condition in unit root testing

Cites Work

• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Further evidence on breaking trend functions in macroeconomic variables
• GLS detrending, efficient unit root tests and structural change.
• On the Theory of Testing for Unit Roots in Observed Time Series
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Tests for Unit Roots and the Initial Condition

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