Inconsistency of a Unit Root Test against Stochastic Unit Root Processes
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Cited by:
- Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019.
"Random coefficient continuous systems: Testing for extreme sample path behavior,"
Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
- Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers 2114, Cowles Foundation for Research in Economics, Yale University.
- Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Economics and Statistics Working Papers 18-2017, Singapore Management University, School of Economics.
- Lajos Horvath & Lorenzo Trapani, 2021. "Changepoint detection in random coefficient autoregressive models," Papers 2104.13440, arXiv.org.
- Trapani, Lorenzo, 2021. "A test for strict stationarity in a random coefficient autoregressive model of order 1," Statistics & Probability Letters, Elsevier, vol. 177(C).
- Lorenzo Trapani, 2021.
"Testing for strict stationarity in a random coefficient autoregressive model,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(3), pages 220-256, April.
- Lorenzo Trapani, 2018. "Testing for strict stationarity in a random coefficient autoregressive model," Discussion Papers 18/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Jonathan Hill & Liang Peng, 2014. "Unified Interval Estimation For Random Coefficient Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 282-297, May.
- Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2017.
"Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour,"
Economics and Statistics Working Papers
18-2017, Singapore Management University, School of Economics.
- Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017. "Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour," Cowles Foundation Discussion Papers 3014, Cowles Foundation for Research in Economics, Yale University.
- Horváth, Lajos & Trapani, Lorenzo, 2019.
"Testing for randomness in a random coefficient autoregression model,"
Journal of Econometrics, Elsevier, vol. 209(2), pages 338-352.
- Lajos Horvath & Lorenzo Trapani, 2018. "Testing for randomness in a random coefficient autoregression model," Discussion Papers 18/03, University of Nottingham, Granger Centre for Time Series Econometrics.
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More about this item
Keywords
Locally Best Invariant Test; Consistency; Dickey-Fuller Test; LBI; RCA; STUR;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-12-11 (Econometrics)
- NEP-ETS-2009-12-11 (Econometric Time Series)
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