The size performance of a nonparametric unit root test under a variance shift-Reference-Cited by-同舟云学术

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The size performance of a nonparametric unit root test under a variance shift

Published:2008-04 Issue:6 Volume:78 Page:743-748
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Maki Daiki

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference7 articles.

1. Nonparametric tests for unit roots and cointegration;Breitung;J. Econometrics,2002

2. Variance shifts, structural breaks, and stationarity tests;Busetti;J. Business Econom. Statist.,2003

3. Testing stationarity under a permanent variance shift;Cavaliere;Econom. Lett.,2004

4. Distribution of the estimates for autoregressive time series with a unit root;Dickey;J. Amer. Statist. Assoc.,1979

5. Testing for a unit root in the presence of a variance shift;Hamori;Econom. Lett.,1997

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Wild bootstrap tests for unit root in ESTAR models;Statistical Methods & Applications;2014-10-28

2. Sign tests for unit root and change in persistence;International Journal of Computational Economics and Econometrics;2014

3. Moving ratio test for multiple changes in persistence;Journal of Systems Science and Complexity;2012-04-10

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