Response surface estimates of the LM unit root tests

DOI10.1016/J.ECONLET.2020.109136zbMath1443.62233OpenAlexW3020664085MaRDI QIDQ777690

Saban Nazlioglu, Junsoo Lee

Publication date: 7 July 2020

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109136

zbMATH Keywords

unit root testsstructural breakfinite sampleslag orderresponse surfacesLagrange Multiplier (LM)

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Response surface designs (62K20)

Related Items (1)

Testing for stationarity with covariates: more powerful tests with non-normal errors

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Sample size, lag order and critical values of seasonal unit root tests
• Response surfaces estimates for the Dickey-Fuller unit root test with structural breaks
• Response surface models for the Leybourne unit root tests and lag order dependence
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• New Improved Tests for Cointegration with Structural Breaks
• TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Efficient Tests for an Autoregressive Unit Root

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