Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR-Reference-Cited by-同舟云学术

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Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR

Published:2018-07 Issue: Volume:7 Page:46-62
ISSN:2452-3062
Container-title:Econometrics and Statistics
language:en
Short-container-title:Econometrics and Statistics

Author:

Muriel Nelson^ORCID,González-Farías Graciela

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference32 articles.

1. Distibutions of estimators for autoregressive time series with a unit root;Dickey;J. Am. Stat. Assoc.,1979

2. Trends and random walks in macroeconomic time series;Nelson;J. Monet. Econ.,1982

3. Unit Roots, Cointegration and Structural Change;Maddala,1998

4. Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance;Dufrénot,2002

5. A primer on unit root testing;Phillips;J. Econ. Surv.,1998

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