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Improving Size and Power in the Unit Root Testing · Study

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PreprintImproving Size and Power in the Unit Root Testing

Niels Haldrup2008

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Preprintgreen2008

Improving Size and Power in the Unit Root Testing

Niels Haldrup · Michael Jansson C

57 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Diverse Scientific and Economic Studies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 2003Testing for unit roots in heterogeneous panels 2002Unit root tests in panel data: asymptotic and finite-sample properties 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1996Efficient Tests for an Autoregressive Unit Root

Cited by

2009Testing the Martingale Hypothesis 2007Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis 2012Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 2009A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC 2014Improved likelihood ratio tests for cointegration rank in the VAR model 2011

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2005Non-stationarity Tests in Macroeconomic Time Serieschapter · 19 shared references 1994Chapter 46 Unit roots, structural breaks and trendschapter · 17 shared references 2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOTarticle · 16 shared references 2005New Trends in Macroeconomicsbook · 16 shared references 2007Unit Root Testingchapter · 16 shared references 2015Bootstrapping unit root tests with covariatesarticle · 15 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations57

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.1147594

openalex_workW1553785550

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A class of simple distribution-free rank-based unit root tests

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