The DOI matches its Crossref record; 20 of the 20 references it cites were found in a registry or an index.
Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
Abstract
We analyze the choice of the truncation lag in the context of the Said-Dickey test for the presence of a unit root in a general autoregressive moving average model. It is shown that a deterministic relationship between the truncation lag and the sample size is dominated by data-dependent rules that take sample information into account. In particular, we study data-dependent rules that are not constrained to satisfy the lower bound condition imposed by Said-Dickey. Akaike's information criterion falls into this category. The analytical properties of the truncation lag selected according to a class of information criteria are compared to those based on sequential testing for the significance of coefficients on additional lags. The asymptotic properties of the unit root test under various methods for selecting the truncation lag are analyzed, and simulations are used to show their distinctive behavior in finite samples. Our results favor methods based on sequential tests over those based on information criteria, because the former show less size distortions and have comparable power.
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Cites
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Self-citationTests For Unit Roots: A Monte Carlo Investigation
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Cited by
Testing for unit roots in heterogeneous panels
Im, K. S., Pesaran, M. H., & Shin, Y. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00092-7 · Cited by 15,435
Testing for Error Correction in Panel Data*
Westerlund, J. (2007) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.2007.00477.x · Cited by 6,113
Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks
Lee, J., & Strazicich, M. C. (2003) · Review of Economics and Statistics · doi:10.1162/003465303772815961 · Cited by 2,388
Further evidence on breaking trend functions in macroeconomic variables
Perron, P. (1997) · Journal of Econometrics · doi:10.1016/s0304-4076(97)00049-3 · Cited by 2,035
Self-citationTesting for a unit root in variables with a double change in the mean
Clemente, J., Montañés, A., & Reyes, M. (1998) · Economics Letters · doi:10.1016/s0165-1765(98)00052-4 · Cited by 914
Metadata
- Authors
- Ng, S., & Perron, P.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 1995-03
- Volume
- 90
- Issue
- 429
- Pages
- 268-281
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W2057346721
- Cited by
- 1,457
- References
- 20
- FWCI
- 92.69
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
