Add to ORKGCavaliere and Xu developed in 2014 simulation-based versions of existing unit root tests (among which the ADF), valid bounded time series. In this note, we present a Monte Carlo study to investigate, in particular, the power of the simulation-based ADF test against bounded near unit root and bounded fractionally integrated alternative processes. Results show a rather good performance of the simulation-based ADF test, particularly for near unit root alternatives
Time series data such as asset prices, gross domestic product, and exchange rates almost always exhi...
The asymptotic distributions of augmented Dickey–Fuller [ADF] unit root tests for autoregressive pro...
The paper addresses the unit root testing when the range of the time series is limited and consideri...
Cavaliere and Xu developed in 2014 simulation-based versions of existing unit root tests (among whic...
Standard unit-root tests are known to be biased towards the non-rejection of a unit-root when they a...
Many key economic and financial series are bounded either by construction or through policy controls...
Abstract. In this paper we consider unit root tests under general time series mod-els, including lon...
This paper proposes t−like unit root tests which are consistent against any stationary alternatives,...
This thesis investigates through simulation why tests of unit root and stationarity occasionally res...
Testing for unit roots is now common practice for economists. The most popular procedure is the appr...
In this paper we evaluate the performance of three methods for testing the existence of a unit root ...
This paper proposes an ADF coefficient test for detecting the presence of a unit root in ARMA models ...
Test for unit root based in wavelets theory is recently defined (Gençay and Fan, 2007). While the ne...
In this note we discuss the properties of Augmented-Dickey-Fuller [ADF] unit root tests for autoregr...
Time series data such as asset prices, gross domestic product, and exchange rates almost always exhi...
The asymptotic distributions of augmented Dickey–Fuller [ADF] unit root tests for autoregressive pro...
The paper addresses the unit root testing when the range of the time series is limited and consideri...
Cavaliere and Xu developed in 2014 simulation-based versions of existing unit root tests (among whic...
Standard unit-root tests are known to be biased towards the non-rejection of a unit-root when they a...
Many key economic and financial series are bounded either by construction or through policy controls...
Abstract. In this paper we consider unit root tests under general time series mod-els, including lon...
This paper proposes t−like unit root tests which are consistent against any stationary alternatives,...
This thesis investigates through simulation why tests of unit root and stationarity occasionally res...
Testing for unit roots is now common practice for economists. The most popular procedure is the appr...
In this paper we evaluate the performance of three methods for testing the existence of a unit root ...
This paper proposes an ADF coefficient test for detecting the presence of a unit root in ARMA models ...
Test for unit root based in wavelets theory is recently defined (Gençay and Fan, 2007). While the ne...
In this note we discuss the properties of Augmented-Dickey-Fuller [ADF] unit root tests for autoregr...
Time series data such as asset prices, gross domestic product, and exchange rates almost always exhi...
The asymptotic distributions of augmented Dickey–Fuller [ADF] unit root tests for autoregressive pro...
The paper addresses the unit root testing when the range of the time series is limited and consideri...