When is a Time-Series I(0)?

The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Volumn , Issue , 2009, Pages

  Davidson, James ^a  

^a UNIVERSITY OF EXETER   (United Kingdom)

Author keywords

Bootstrap; Cointegration; Fingerprinting I(0); Integration; Long memory; Short memory; Testing I(0)

Indexed keywords

EID: 84919703616     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1093/acprof:oso/9780199237197.003.0013     Document Type: Chapter

References (50)

1. Agiakloglou, Ch. and Newbold, P. (1994). Lagrange multiplier tests for fractional difference. Journal of Time Series Analysis, 15, 253-262.
2. Andrews, D. W. K. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica, 59(3), 817-858.
3. Andrews, D. W. K. and Monahan, J. C. (1992). An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica, 60(4), 953-966.
4. Banerjee, A., Dolado, J. J., Galbraith, J. W., and Hendry, D. F. (1993). Cointegration, Error Correction and the Econometric Analysis of Non-Stationary Data. Oxford: Oxford University Press.
5. Blough, S. R. (1992). The relationship between power and level for generic unit root tests infinite samples. Journal of Applied Econometrics, 7, 295-308.
6. Breitung, J. (2002). Nonparametric tests for unit roots and cointegration. Journal of Econometrics, 108, 343-363.
7. Breitung, J. and Hassler, U. (2002). Inference on the cointegration rank in fractionally integrated processes. Journal of Econometrics, 110, 167-185.
8. Breitung, J. and Taylor, A. M. R. (2003). Corrigendum to 'Nonparametric tests for unit roots and cointegration'. Journal of Econometrics, 117, 401-404.
9. Busetti, F. and Taylor, A. M. R. (2004). Tests of stationarity against a change in persistence. Journal of Econometrics, 123, 33-66.
10. Cavaliere, G. and Taylor, A. M. R. (2005). Stationarity tests under timevarying second moments. Econometric Theory, 21, 1112-1129.
11. Corradi, V. (1999). Deciding between I(0) and I(1) via Flil-based bounds. Econometric Theory, 15(5), 643-663.
12. Davidson, J. (2002). Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes. Journal of Econometrics, 106, 243-269.
13. Davidson, J. (2006). Asymptotic Methods and Functional Central Limit Theorems. Ch. 5 of Mills, T. C. and Patterson, K. (eds.), Palgrave Handbook of Econometrics:Vol. 1 Econometric Theory. Palgrave Macmillan.
14. Davidson, J. and de Jong, R. M. (2000). Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices. Econometrica, 68(2), 407-424.
15. Davidson, J. and Sibbertsen, P. (2009). Tests of bias in log-periodogram regression. Forthcoming in Economics Letters.
16. Davidson, J., Magnus, J., and Wiegerinck, J. (2008). A general bound for the limiting distribution of Breitung 's statistic. Econometric Theory, 24(5), 1443-1455.
17. Davies, R. B. and Harte, D. S. (1987). Tests for Hurst effect. Biometrika, 74, 95-102.
18. de Jong, R. M. and Davidson, J. (2000). The functional central limit theorem and weak convergence to stochastic integrals I: Weakly dependent processes. Econometric Theory, 16, 621-42.
19. Den Haan, W. J. and Levin, A. (1997). A practitioner 's guide to robust covariance matrix estimation. Ch. 12 of Maddala, G. S. and Rao, C. R. (eds.), Handbook of Statistics 15: Robust Inference, pp. 291-341. Elsevier.
20. Dufour, J.-M. (1997). Some impossibility theorems in econometrics with applications to structural and dynamic models. Econometrica, 65(6), 1365-1387.
21. Engle, R. F. and Granger, C. W. J. (1987). Co-integration and error correction:Representation, estimation and testing. Econometrica, 35, 251-276.
22. Engle, R. F. and Granger, C. W. J. (1991). Long-run Economic Relationships: Readings in Cointegration. Oxford: Oxford University Press.
23. Faust, J. (1996). Near observational equivalence and theoretical size problems with unit root tests. Econometric Theory, 12(4), 724-731.
24. Faust, J. (1999). Conventional confidence intervals for points on spectrum have confidence level zero. Econometrica, 67(3), 629-637.
25. Geweke, J. and Porter-Hudak, S. (1983). The estimation and application of long-memory time series models. Journal of Time Series Analysis, 4, 221-237.
26. Giraitis, L., Kokoszka, P., Leipus, R., and Teyssiere, G. (2003). Rescaled variance and related tests for long memory in volatility and levels. Journal of Econometrics, 112, 265-294.
27. Harris, D., McCabe, B. M., and Leybourne, S. (2008). Testing for long memory. Econometric Theory, 24(1), 143-175.
28. Hendry, D. F. (1995). Dynamic Econometrics. Oxford: Oxford University Press.
29. Hurvich, C. M., Deo, R., and Brodsky, J. (1998). The mean squared error of Geweke and Porter-Hudak 's estimator of a long memory time series. Journal of Time Series Analysis, 19, 19-46.
30. Johansen, S. (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press.
31. Kiefer, N. M., Vogelsang, T. J. and Bunzel, H. (2000). Simple robust testing of regression hypotheses. Econometrica, 68(3), 695-714.
32. Johansen, S. (2002). Heteroskedasticity-autocorrelation robust standard errors using the Bartlett kernel without truncation. Econometrica, 70(5), 2093-2095.
33. Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., and Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54, 159-178.
34. Leeb, H. and Pötscher, B. M. (2001). The variance of an integrated process need not diverge to infinity, and related results on partial sums of stationary processes. Econometric Theory, 17(4), 671-685.
35. Lo, A. W. (1991). Long-term memory in stock market prices. Econometrica, 59(5), 1279-1313.
36. Lobato, I. N. and Robinson, P. M. (1998). A Nonparametric Test for I(0). Review of Economic Studies, 65(3), 475-495.
37. Mandelbrot, B. B. and van Ness, J. W. (1968). Fractional Brownian motions, fractional noises and applications. SIAM Review, 10, 442-437.
38. Moulines, E. and Soulier, P. (1999). Broad ban log-periodogram estimation of time series with long-range dependence. Annals of Statistics, 27, 1415-1439.
39. Müller, U. K. (2005). Size and power of tests of stationarity in highly autocorrelated time series. Journal of Econometrics, 128, 195-213.
40. Müller, U. K. (2008). The impossibility of consistent discrimination between I(0) and I(1) processes. Econometric Theory, 24, 616-630.
41. Newey, W. K. and West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, 703-708.
42. Newey, W. K. and West, K. D. (1994). Automatic lag selection in covariance matrix estimation. Review of Economic Studies, 61, 631-654.
43. Phillips, P. C. B. (1998). New tools for understanding spurious regression. Econometrica, 66, 1299-1325.
44. Pötscher, B. M. (2002). Lower risk bounds and properties of confidence sets for ill-posed estimation problems with applications to spectral density and persistence estimation, unit roots and estimation of long memory parameters. Econometrica, 70(3), 1035-1065.
45. Robinson, P. M. (1991). Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regressions. Journal of Econometrics, 47, 67-84.
46. Robinson, P. M. (1994). Efficient tests of nonstationary hypotheses. Journal of the American Statistical Association, 89, 1420-1437.
47. Stock, J. H. (1994). Deciding between I(1) and I(0). Journal of Econometrics, 63, 105-131.
48. Surgailis, D., Teyssiere, G., and Vaiciulis, M. (2008). The increment ratio statistic. Journal of Multivariate Analysis, 99, 510-541.
49. Tanaka, K. (1999). The nonstationary fractional unit root. Econometric Theory, 15, 549-582.
50. Tong, H. (1990). Non-linear Time Series. Oxford: Oxford University Press.