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Critical values of the augmented fractional Dickey-Fuller test
Sephton, Peter S. - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 437-450
Persistent link: https://www.econbiz.de/10003776707
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Critical values for the augmented efficient Wald test for fractional unit roots
Sephton, Peter S. - In: Empirical economics : a journal of the Institute for … 37 (2009) 3, pp. 615-626
Persistent link: https://www.econbiz.de/10003900971
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Linear and non-linear unit root testing in the presence of heavy-tailed GARCH : a finite-sample simulation analysis
Cook, Steve - In: International journal of computational economics and … 2 (2012) 3/4, pp. 179-196
Persistent link: https://www.econbiz.de/10009756392
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Convergence of Monte Carlo simulations involving the mean-reverting square root process
Higham, Desmond J.; Mao, Xuerong - In: The journal of computational finance 8 (2004/2005) 3, pp. 35-61
Persistent link: https://www.econbiz.de/10002996511
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The overall seasonal integration tests under non-stationary alternatives : a methodological note
El Montasser, Ghassen - 2011
, Ghysels, lee and Noh (1994) conducted a simulation study by considering the alternative of a non-seasonal random walk to … developing the limit theory of statistics of Dickey and Fuller Hasza [DHF] (1984) when the data are generated by a non … asymptotic theory of the statistics subsumed in the HEGY procedure. In this paper, I show that establishing the limit theory of F …
Persistent link: https://www.econbiz.de/10011524855
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Do the lag lengths matter in terms of size and power properties of nonlinear unit root tests?
Hepsağ, Aycan - In: Selected topics in applied econometrics, (pp. 148-160). 2019
Persistent link: https://www.econbiz.de/10012286978
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Finite-sample distribution of the augmented Dickey–Fuller test with lag optimization
Tam, Pui Sun - In: Applied economics 45 (2013) 22/24, pp. 3495-3511
Persistent link: https://www.econbiz.de/10010345347
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On the power and interpretation of panel unit root tests
Karlsson, Sune; Löthgren, Mickael - 1999
Persistent link: https://www.econbiz.de/10000168495
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Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence
Otero, Jesús G. (contributor); Smith, Jeremy (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003753831
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Panel unit root tests in the presence of a multifactor error structure
Pesaran, M. Hashem (contributor);  … - 2007
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10003652679