Semiparametrically point-optimal hybrid rank tests for unit roots
From MaRDI portal
(Redirected from Publication:2328053)
Abstract: We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to the unit root model. The invariance structures naturally suggest tests that are based on the ranks of the increments of the observations, their average, and an assumed reference density for the innovations. The tests are semiparametric in the sense that they are valid, i.e., have the correct (asymptotic) size, irrespective of the true innovation density. For a correctly specified reference density, our test is point-optimal and nearly efficient. For arbitrary reference densities, we establish a Chernoff-Savage type result, i.e., our test performs as well as commonly used tests under Gaussian innovations but has improved power under other, e.g., fat-tailed or skewed, innovation distributions. To avoid nonparametric estimation, we propose a simplified version of our test that exhibits the same asymptotic properties, except for the Chernoff-Savage result that we are only able to demonstrate by means of simulations.
Recommendations
Cites work
- scientific article; zbMATH DE number 3151169 (Why is no real title available?)
- scientific article; zbMATH DE number 1022658 (Why is no real title available?)
- scientific article; zbMATH DE number 1181283 (Why is no real title available?)
- scientific article; zbMATH DE number 3258670 (Why is no real title available?)
- A class of simple distribution-free rank-based unit root tests
- Aligned rank tests for linear models with autocorrelated error terms
- Asymptotic Statistics
- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- Asymptotic methods in statistical decision theory
- Consistent estimation of the influence function of locally asymptotically linear estimators
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Tests for an Autoregressive Unit Root
- Efficient tests under a weak convergence assumption
- Inference in a nearly integrated autoregressive model with nonnormal innovations
- Introduction to Time Series and Forecasting
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Minimizing the impact of the initial condition on testing for unit roots
- Nonparametrics and robustness in modern statistical inference and time series analysis: A Festschrift in honor of Professor Jana Jurečková
- On adaptive estimation
- On adaptive estimation in stationary ARMA processes
- On asymptotically efficient estimation in semiparametric models
- On quadratic expansions of log-likelihoods and a general asymptotic linearity result
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Optimal rank-based procedures for time series analysis: testing an ARMA model against other ARMA models
- Rank tests of unit root hypothesis with infinite variance errors
- Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
- Semiparametrically point-optimal hybrid rank tests for unit roots
- Testing Models of Low-Frequency Variability
- Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
- Testing for a unit root in time series regression
- Tests for Unit Roots and the Initial Condition
- The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
- Time Series Regression with a Unit Root
- UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
- Unit root tests in time series. Volume 1. Key concepts and problems
- Unit root tests in time series. Volume 2. Extensions and developments
Cited in
(10)- Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
- Semiparametric testing with highly persistent predictors
- Semiparametrically point-optimal hybrid rank tests for unit roots
- Rank tests for unit roots
- Semiparametrically optimal cointegration test
- ROBUST TESTS OF THE UNIT ROOT HYPOTHESIS SHOULD NOT BE “MODIFIED”
- Rank tests of unit root hypothesis with infinite variance errors
- Rank Based Dickey–Fuller Test Statistics
- An inverted beta approximation to a MPI unit root test
- A class of simple distribution-free rank-based unit root tests
This page was built for publication: Semiparametrically point-optimal hybrid rank tests for unit roots
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2328053)
