The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions

DOI10.1016/j.econlet.2006.06.032zbMath1255.62286MaRDI QIDQ1929835

Anurag N. Banerjee, Alan T. K. Wan, Guo Hua Zou

Publication date: 9 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.06.032

zbMATH Keywords

autocorrelation test; mis-specified models

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F30: Parametric inference under constraints

62F05: Asymptotic properties of parametric tests

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Cites Work

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