Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis

DOI10.3982/ECTA6113zbMath1152.91713OpenAlexW3122696164MaRDI QIDQ3535759

Michael Jansson

Publication date: 14 November 2008

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta6113

zbMATH Keywords

semiparametric efficiencyunit root testing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items (9)

Portmanteau-type tests for unit-root and cointegration ⋮ A class of simple distribution-free rank-based unit root tests ⋮ Parametric and Semi-Parametric Efficient Tests for Parameter Instability ⋮ COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor ⋮ Portmanteau-type test for unit root with heavy-tailed noise ⋮ ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS ⋮ Semiparametrically point-optimal hybrid rank tests for unit roots ⋮ ASYMPTOTICALLY UMP PANEL UNIT ROOT TESTS—THE EFFECT OF HETEROGENEITY IN THE ALTERNATIVES ⋮ Semiparametric testing with highly persistent predictors

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