A chi-square test for a unit root

DOI10.1016/0165-1765(90)90178-4zbMath0723.62052OpenAlexW1968889103MaRDI QIDQ756896

Masao Ogaki, James A. Kahn

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0165-1765(90)90178-4

zbMATH Keywords

Dickey-Fuller testsautoregressive rootchi-square test for unit roots

Mathematics Subject Classification ID

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

Related Items (3)

Testing stationarity and trend stationarity against the unit root hypothesis ⋮ Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate ⋮ A consistent test for the null of stationarity against the alternative of a unit root

Cites Work

• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Nonlinear Regression with Dependent Observations
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• Invariance principles for dependent variables
• Contributions to Central Limit Theory for Dependent Variables

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