Point optimal testing with roots that are functionally local to unity

DOI10.1016/J.JECONOM.2020.03.003MaRDI QIDQ2224880zbMATH OpenOpenAlexFDO

Authors Anna Bykhovskaya, Peter C. B. Phillips

Publication date 4 February 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://cowles.yale.edu/sites/default/files/files/pub/d30/d3007.pdf

zbMATH Keywords

local to unityunit root modelfunctional local unit rootuniform confidence interval

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Testing for a unit root in time series regression
• Efficient Tests for an Autoregressive Unit Root
• Unit root testing
• Power functions and envelopes for unit root tests
• Boundary limit theory for functional local to unity regression

Cites work

• A multivariate stochastic unit root model with an application to derivative pricing
• Asymptotic inference for nearly nonstationary AR(1) processes
• Dating the timeline of financial bubbles during the subprime crisis
• Detecting Multiple Changes in Persistence
• Efficient Tests for an Autoregressive Unit Root
• Limit theory for moderate deviations from a unit root
• New distribution theory for the estimation of structural break point in mean
• Norming rates and limit theory for some time-varying coefficient autoregressions
• On Confidence Intervals for Autoregressive Roots and Predictive Regression
• One-dimensional inference in autoregressive models with the potential presence of a unit root
• Regression Theory for Near-Integrated Time Series
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Tests for a change in persistence against the null of difference‐stationarity
• Tests of stationarity against a change in persistence
• Towards a unified asymptotic theory for autoregression
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Uniform Inference in Autoregressive Models

Cited in

(8)

• Tempered functional time series
• Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King
• Understanding temporal aggregation effects on kurtosis in financial indices
• Asymptotic theory for near integrated processes driven by tempered linear processes
• Boundary limit theory for functional local to unity regression
• Some Properties of the Point Optimal Invariant Test for the Constancy of Parameters
• scientific article; zbMATH DE number 751228 (Why is no real title available?)
• Optimal unateness testers for real-valued functions: Adaptivity helps

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