Local power functions of tests for double unit roots

DOI10.1111/J.1467-9574.2005.00285.XMaRDI QIDQ5313480zbMATH OpenOpenAlexFDO

Authors Niels Haldrup, Peter Lildholdt

Publication date 1 September 2005

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://escholarship.org/uc/item/01j3m1h6

zbMATH Keywords

asymptotic local power functionBrownian motionOrnstein-Uhlenbeck process

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• The power of unit root tests under local-to-finite variance errors
• Power comparison among tests for fractional unit roots
• Limiting power of unit-root tests in time-series regression
• Unit root testing in presence of a double threshold process
• New tools for understanding the local asymptotic power of panel unit root tests

Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Likelihood Analysis of the I(2) Model
• Local asymptotic distribution related to the AR(1) model with dependent errors
• The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables

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