On testing for unit roots and the initial observation
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Publication:5706722
DOI10.1111/j.1368-423X.2005.00154.xzbMath1076.62088OpenAlexW3123230344MaRDI QIDQ5706722
David I. Harvey, Stephen J. Leybourne
Publication date: 21 November 2005
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00154.x
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (16)
Minimizing the impact of the initial condition on testing for unit roots ⋮ UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION ⋮ A Gini-based unit root test ⋮ The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study ⋮ The impact of the initial condition on covariate augmented unit root tests ⋮ On trend breaks and initial condition in unit root testing ⋮ Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures ⋮ Seasonal unit root tests and the role of initial conditions ⋮ LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS ⋮ The Yule–Walker equations as a weighted least-squares problem and the association with tapering ⋮ Dealing with the Initial Observation in the LM Unit Root Test ⋮ The impact of the initial condition on robust tests for a linear trend ⋮ Unit root testing with slowly varying trends ⋮ Recursive adjustment, unit root tests and structural breaks ⋮ Local power of panel unit root tests allowing for structural breaks ⋮ Power of a Unit-Root Test and the Initial Condition
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