Asymptotic behaviour of tests for a unit root against an explosive alternative

DOI10.1016/J.ECONLET.2013.11.006MaRDI QIDQ2016008zbMATH OpenOpenAlexFDO

Authors David I. Harvey, Stephen Leybourne

Publication date 18 June 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://eprints.nottingham.ac.uk/32668/

zbMATH Keywords

asymptotic powerunit root testingexplosive autoregressioninitial condition

Mathematics Subject Classification ID

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

Recommendations

• The power of unit root tests under local-to-finite variance errors
• The power envelope of panel unit root tests in case stationary alternatives offset explosive ones
• Tests for Unit Roots and the Initial Condition
• Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
• Power of a Unit-Root Test and the Initial Condition

Cites work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

Cited in

(3)

• Testing for explosive bubbles: a review
• The power envelope of panel unit root tests in case stationary alternatives offset explosive ones
• Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends

This page was built for publication: Asymptotic behaviour of tests for a unit root against an explosive alternative

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2016008)