Power functions and envelopes for unit root tests
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Recommendations
- Testing for unit roots with stationary covariates
- Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
- Efficient Tests for an Autoregressive Unit Root
- A note on the geometry and power of unit root tests
- Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
Cites work
- A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
- Efficient Tests for an Autoregressive Unit Root
- scientific article; zbMATH DE number 3522963 (Why is no real title available?)
- scientific article; zbMATH DE number 957960 (Why is no real title available?)
- Inversion Formulae for the Distribution of Ratios
- Limiting power of unit-root tests in time-series regression
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- TESTING FOR MOVING AVERAGE REGRESSION DISTURBANCES
- Testing for unit roots with stationary covariates
Cited in
(7)- Point optimal testing with roots that are functionally local to unity
- On the characteristic function for asymmetric Student \(t\) distributions
- Power of a Unit-Root Test and the Initial Condition
- On the characteristic function for asymmetric exponential power distributions
- Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
- Testing for parameter constancy in the time series direction in panel data models
- The power envelope of panel unit root tests in case stationary alternatives offset explosive ones
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