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Minimizing the impact of the initial condition on testing for unit roots · Study

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ArticleMinimizing the impact of the initial condition on testing for unit roots

Graham Elliott2005

Article2005

Minimizing the impact of the initial condition on testing for unit roots

Graham Elliott · Ulrich K. Müller

66 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Economic theories and models Diverse Scientific and Economic Studies

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1996Efficient Tests for an Autoregressive Unit Root 1992Efficient Tests for an Autoregressive Unit Root 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power 1996Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries 1987Towards a Unified Asymptotic Theory for Autoregression 1986Unit roots, structural breaks and trends

Cited by

2009UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST 2012Testing for unit roots in the presence of uncertainty over both the trend and initial condition 2011BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY 2006Convergences of Prices and Rates of Inflation 2013Detrending Bootstrap Unit Root Tests 2007

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2003Tests for Unit Roots and the Initial Conditionarticle · 9 shared references 2008Improving Size and Power in the Unit Root Testingpreprint · 9 shared references 2007Unit Root Testingchapter · 9 shared references 2001Confidence intervals for autoregressive coefficients near onearticle · 8 shared references 2006Efficient tests of the seasonal unit root hypothesisarticle · 8 shared references 2012Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesisarticle · 8 shared references

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Year2005

Typearticle

Published2005-09-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations66

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2005.07.024

openalex_workW2124752304

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MODIFIED KPSS TESTS FOR NEAR INTEGRATION

2011A class of simple distribution-free rank-based unit root tests

2006Power of a Unit‐Root Test and the Initial Condition