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Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series · Study

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PreprintSize and Power of Tests for Stationarity in Highly Autocorrelated Time Series

Ulrich K. Müller2003

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Preprintgreen2003

Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series

Ulrich K. Müller

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

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

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References

1988Testing for a Unit Root in Time Series Regression 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1996Efficient Tests for an Autoregressive Unit Root 1992Efficient Tests for an Autoregressive Unit Root 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1996The Purchasing Power Parity Puzzle 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator 1989Testing for the Constancy of Parameters Over Time

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2011Testing Stationarity in Small- and Medium-Sized Samples when Disturbances are Serially Correlated*

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2004Size and power of tests of stationarity in highly autocorrelated time seriesarticle · 21 shared references 2005Non-stationarity Tests in Macroeconomic Time Serieschapter · 12 shared references 1994Chapter 46 Unit roots, structural breaks and trendschapter · 11 shared references 2006A guide to the computation of stationarity testsarticle · 10 shared references 2006Optimal Inference in Regression Models with Nearly Integrated Regressorsarticle · 9 shared references 2000The uncertain trend in U.S. GDParticle · 9 shared references

Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations20

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.371980

openalex_workW2139984339

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