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Order determination of multivariate autoregressive time series with unit roots

Paulsen, Jostein - 1982

Persistent link: https://www.econbiz.de/10000012037

A powerful tuning parameter free test of the autoregressive unit root hypothesis

Nielsen, Morten Ørregaard (contributor) - 2008

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d = 1. It is shown that (i) each member of the family with d 0 is consistent, (ii) the asymptotic distribution depends on d, and thus...

Persistent link: https://www.econbiz.de/10003728253

Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects

Moon, Hyungsik Roger; Perron, Benoit - In: The econometrics journal 11 (2008) 1, pp. 80-104

Persistent link: https://www.econbiz.de/10003648625

A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances

Sjölander, Pär - In: Applied financial economics 18 (2008) 7/9, pp. 527-558

Persistent link: https://www.econbiz.de/10003739218

Size performance of the lagrange multiplier (LM) unit root test in the presence of a neglected break under the null

Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 7/9, pp. 701-705

Persistent link: https://www.econbiz.de/10003741635

Linear vs. log-linear unit-root specification : an application of mis-specification encompassing

Spanos, Aris; Hendry, David F.; Reade, J. James - In: Oxford bulletin of economics and statistics 70 (2008), pp. 829-847

Persistent link: https://www.econbiz.de/10003787677

The limit distribution of the estimates in cointegrated regression models with multiple structural changes

Kejriwal, Mohitosh; Perron, Pierre - In: Journal of econometrics 146 (2008) 1, pp. 59-73

Persistent link: https://www.econbiz.de/10003778212

A generalization of the Burridge-Guerre nonparametric root test

García, Ana; Sansó, Andreu - In: Econometric theory 22 (2006) 4, pp. 756-761

Persistent link: https://www.econbiz.de/10003351884

GARCH, heteroscedasticity-consistent vovariance matric estimation and non-linear unit root testing

Cook, Steven - In: Applied financial economics letters 2 (2006) 4, pp. 217-222

Persistent link: https://www.econbiz.de/10003351931

Robust confidence intervals for autoregressive coefficients near one

Thompson, Samuel B. - In: Identification and inference for econometric models : …, (pp. 375-402). 2005

Persistent link: https://www.econbiz.de/10003352584

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