The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study-Reference-Cited by-同舟云学术

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The sensitivity of unit root tests to the initial condition and to the lag length selection: A Monte Carlo Simulation Study

Published:2019-04-25 Issue:4 Volume:50 Page:1062-1072
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Ferrer-Pérez Hugo¹^ORCID,Ayuda María-Isabel²,Aznar Antonio²

Affiliation:

1. Facultad de Ciencias Económicas y Empresariales, Universidad CEU San Pablo, Madrid, Spain

2. Facultad de Economía y Empresa, Universidad de Zaragoza, Zaragoza, Spain

Funder

MEC-MICINN

Department of Science, Technology and Universities of the Aragonese Government and the European Regional Development Fund

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2019.1577967

Reference22 articles.

1. Fitting autoregressive models for prediction

2. Almost All About Unit Roots

3. Distribution of the Estimators for Autoregressive Time Series With a Unit Root

4. Efficient Tests for a Unit Root When the Initial Observation is Drawn From Its Unconditional Distribution

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

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