A note on the geometry and power of unit root tests

MaRDI QIDQ5441105zbMATH OpenFDO

Authors Patrick Marsh

Publication date 7 February 2008

zbMATH Keywords

geometric distancepower envelope

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Testing for a unit root in time series regression
• Efficient Tests for an Autoregressive Unit Root
• Unit root testing
• Power of a Unit-Root Test and the Initial Condition
• Some properties of exact tests for unit roots

Cited in

(3)

• The available information for invariant tests of a unit root
• Power functions and envelopes for unit root tests
• A note on the power of least squares tests for a unit root

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