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A lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model under misspecification

Zhou, Xingwu; Solberger, Martin - 2013

Persistent link: https://www.econbiz.de/10010199465

Cross-sectional quasi-maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels

Choi, In; Jung, Sanghyun - In: Empirical economics : a quarterly journal of the … 60 (2021) 1, pp. 177-203

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Mixed causal-noncausal autoregressions : bimodality issues in estimation and unit root testing

Bec, Frédérique; Bohn Nielsen, Heino; Sai͏̈di, Sarra - 2019

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A small sample correction of the Dickey-Fuller test

Johansen, Søren - In: New directions in macromodelling, (pp. 49-68). 2004

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Stochastic unit root processes : maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests

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On the Small Sample Properties of Dickey-Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates

Rodrigues, Paulo M.M; Serrano, Antonio Rubia - 2004

Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the...

Persistent link: https://www.econbiz.de/10014070695