Testing the autoregressive parameter with the t statistic

DOI10.1016/0304-4076(85)90084-3zbMath0556.62093OpenAlexW1977862808MaRDI QIDQ761000

N. E. Savin, John C. Nankervis

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90084-3

zbMATH Keywords

random walk hypothesisconstruction of exact non-similar testsGaussian first-order autoregressive processsmall sigma asymptotic result

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (19)

A bootstrap theory for weakly integrated processes ⋮ Papers with John ⋮ Unit root testing ⋮ Trends and random walks in macroeconomic time series ⋮ Hypothesis testing in the presence of nuisance parameters ⋮ Testing the random walk hypothesis: power versus frequency of observation ⋮ Small sample testing for cointegration using the bootstrap approach ⋮ On solving bias‐corrected non‐linear estimation equations with an application to the dynamic linear model ⋮ Bootstrapping the HEGY seasonal unit root tests ⋮ Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity ⋮ On bootstrap inference in cointegrating regressions ⋮ A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment ⋮ Asymptotic inference for unstable auto-regressive time series with drifts ⋮ On the nearly nonstationary seasonal time series ⋮ Empirically relevant critical values for hypothesis tests: A bootstrap approach ⋮ Bootstrap hypothesis testing in regression models ⋮ Unit root testing in integer-valued AR(1) models ⋮ A note on bootstrapping unit root tests in the presence of a non-zero drift ⋮ Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors

Uses Software

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• nag
• AS 76

Cites Work

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• Testing for Unit Roots: 2
• Testing For Unit Roots: 1
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• A Statistical Evaluation of Multiplicative Congruential Random Number Generators with Modulus 2 31 - 1
• The Use of Control Variates in Monte Carlo Estimation of Power
• Algorithm 488: A Gaussian pseudo-random number generator
• Coding the Lehmer pseudo-random number generator
• Comparison of k-Class Estimators When the Disturbances Are Small

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