Constructing Optimal tests on a Lagged dependent variable
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Cites work
- Efficient Tests for an Autoregressive Unit Root
- Integration Versus Trend Stationary in Time Series
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Optimal weighted average power similar tests for the covariance structure in the linear regression model
Cited in
(4)- Bootstrap point optimal unit root tests
- Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- 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
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