Testing for unit roots in the context of misspecified logarithmic random walks.

DOI10.1016/S0165-1765(01)00554-7zbMath1079.62541WikidataQ126666373 ScholiaQ126666373MaRDI QIDQ5958523

Walter Kramer, Laurie Davies

Publication date: 3 March 2002

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Unit rootsDickey-Fuller-testMisspecification

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

Related Items (1)

The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test

Cites Work

• Unnamed Item
• On the sensitivity of unit root inference to nonlinear data transformations
• Some generalizations on the algebra of I(1) processes
• Rank tests for unit roots
• Testing for Unit Roots and Non-linear Transformations
• Tests of Linear and Logarithmic Transformations for Integrated Processes
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

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