A complete class of tests when the likelihood is locally asymptotically quadratic.

DOI10.1016/S0304-4076(03)00135-0zbMath1043.62003MaRDI QIDQ1421313

Werner Ploberger

Publication date: 26 January 2004

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

zbMATH Keywords

Likelihood ratio testDickey-Fuller testAsymptotic theoryComplete class theoremsOptimal tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Theory of statistical experiments (62B15) Asymptotic properties of parametric tests (62F05) Complete class results in statistical decision theory (62C07)

Related Items (5)

Testing joint hypotheses when one of the alternatives is one-sided ⋮ A class of simple distribution-free rank-based unit root tests ⋮ ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS ⋮ Residual-based rank specification tests for AR-GARCH type models ⋮ Efficient tests for unit roots with prediction errors

Cites Work

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• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Asymptotic methods in statistical decision theory
• Asymptotics in statistics: some basic concepts
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• An Essentially Complete Class of Admissible Decision Functions

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