Efficient tests for unit roots with prediction errors

DOI10.1016/S0378-3758(01)00313-5MaRDI QIDQ1869150zbMATH OpenOpenAlexFDO

Authors Ismael Sánchez

Publication date 9 April 2003

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-3758(01)00313-5, http://hdl.handle.net/10016/10113

zbMATH Keywords

Optimal testsPredictive mean squared errorTablesUnit roots

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

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Cited in

(3)

• Unit-root detection allowing for measurement error
• Forecasting unstable processes
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS

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