Orthogonality tests with de-trended data: interpreting Monte-Carlo results using Nagar expansions

DOI10.1016/0165-1765(90)90044-2MaRDI QIDQ1676649zbMATH OpenOpenAlexWikidataFDO

Authors Anindya Banerjee, John W. Galbraith, Juan J. Dolado

Publication date 9 November 2017

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(90)90044-2

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

• Do we reject rational expectations models too often?: Interpreting evidence using Nagar expansions
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Testing for Unit Roots: 2
• Time Series Regression with a Unit Root
• Towards a unified asymptotic theory for autoregression

Cited in

(1)

• Over-rejections in rational expectations models. A non-parametric approach to the Mankiw-Shapiro problem

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