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A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending

Westerlund, Joakim 2013, A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending, Journal of time series analysis, vol. 34, no. 4, pp. 477-495, doi: 10.1111/jtsa.12025.

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Title A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
Author(s) Westerlund, Joakim
Journal name Journal of time series analysis
Volume number 34
Issue number 4
Start page 477
End page 495
Total pages 19
Publisher Wiley-Blackwell Publishing
Place of publication Chichester, England
Publication date 2013
ISSN 0143-9782
1467-9892
Keyword(s) unit root test
heteroskedasticity
ARCH
GARCH
covariates
GLS detrending
Summary When testing for a unit root in a time series, in spite of the well-known power problem of univariate tests, it is quite common to use only the information regarding the autoregressive behaviour contained in that series. In a series of influential papers, Elliott et al. (Efficient tests for an autoregressive unit root, Econometrica 64, 813–836, 1996), Hansen (Rethinking the univariate approach to unit root testing: using covariates to increase power, Econometric Theory 11, 1148–1171, 1995a) and Seo (Distribution theory for unit root tests with conditional heteroskedasticity, Journal of Econometrics 91, 113–144, 1999) showed that this practice can be rather costly and that the inclusion of the extraneous information contained in the near-integratedness of many economic variables, their heteroskedasticity and their correlation with other covariates can lead to substantial power gains. In this article, we show how these information sets can be combined into a single unit root test.
Language eng
DOI 10.1111/jtsa.12025
Field of Research 150202 Financial Econometrics
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2013
Copyright notice ©2013, Wiley-Blackwell Publishing
Persistent URL http://hdl.handle.net/10536/DRO/DU:30057285

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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Created: Thu, 24 Oct 2013, 15:42:54 EST by Aysun Alpyurek

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