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

By Graham Elliott, Ulrich K. Müller. 2006

66 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/2cb51ae3a5854ecb235b172a9fa8af834c6492db

Citations in the corpus

• UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST (2008, unknown): “The importance of initial conditions in affecting size and power in inference has been particularly emphasized in recent work (Elliott, 1999; Müller and Elliott, 2003; Elliott and Müller, 2006; Harvey, Leybourne, and Taylor, 2009).”
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION (2009, unknown): “Also shown are the Q̂μ(10,3.8) test of Elliott and Müller (2006), the τμAV test of Harvey and Leybourne (2005), and the Q̂μAV test of Harvey and Leybourne (2006).”