A unified unit root test regardless of intercept

DOI10.1080/07474938.2023.2217077OpenAlexW4380367881MaRDI QIDQ6049840

Bingduo Yang, Liang Peng, Wei Long, Xiao Hui Liu

Publication date: 18 September 2023

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2023.2217077

zbMATH Keywords

heteroscedasticityautoregressive modelinterval estimationunit root testrandom weighted bootstrap

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Distribution theory for unit root tests with conditional heteroskedasticity
• A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment
• A simple resampling method by perturbing the minimand
• TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
• Towards a unified asymptotic theory for autoregression
• A Sieve Bootstrap For The Test Of A Unit Root
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS
• Time Series Regression with a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Bootstrapping the Portmanteau Tests in Weak Auto-Regressive Moving Average Models
• Uniform Inference in Autoregressive Models