Instrumental variable based unit root tests when both ARMA (p,q) orders are chosen to be too large

DOI10.1016/S0165-1765(96)00862-2zbMath0875.90213OpenAlexW2058869216MaRDI QIDQ673200

Tae Yoon Lee, Alastair R. Hall

Publication date: 28 February 1997

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(96)00862-2

zbMATH Keywords

Time seriesUnit root testInstrumental variablesSingular cross product matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

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• Asymptotic inference for nearly nonstationary AR(1) processes
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for unit roots in autoregressive-moving average models of unknown order
• Hypothesis Testing in ARIMA(p, 1, q) Models
• Testing for a unit root in the presence of moving average errors
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• Time Series Regression with a Unit Root
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

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