Powerful unit root tests free of nuisance parameters

DOI10.1111/JTSA.12172MaRDI QIDQ2815048zbMATH OpenOpenAlexFDO

Authors Mehdi Hosseinkouchack, Uwe Hassler

Publication date 27 June 2016

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12172

zbMATH Keywords

Karhunen-Loèvelocal-to-unitytuning parameter freevariance ratio

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• A theory of robust long-run variance estimation
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• Confidence intervals for autoregressive coefficients near one
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• scientific article; zbMATH DE number 957960 (Why is no real title available?)
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• Testing Models of Low-Frequency Variability
• THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
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• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Variance ratio tests of the seasonal unit root hypothesis

Cited in

(10)

• Spectral approach to parameter-free unit root testing
• Modified unit root tests with nuisance parameter free asymptotic distributions
• The available information for invariant tests of a unit root
• ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
• Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
• A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
• Ratio tests under limiting normality
• A residual-based nonparametric variance ratio no-cointegration test
• The power of unit root tests under local-to-finite variance errors
• Self-normalized KPSS tests with power enhancement

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