Marginal likelihood and unit roots

DOI10.1016/j.jeconom.2005.10.005zbMath1360.62439OpenAlexW2166748222MaRDI QIDQ276943

Marc K. Francke, Aart F. de Vos

Publication date: 4 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.10.005

zbMATH Keywords

asymptotic distributionhypothesis testingautoregressive moving average model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Bootstrap point optimal unit root tests, Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends, BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD, The restricted likelihood ratio test at the boundary in autoregressive series, COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor, SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS, Likelihood functions for state space models with diffuse initial conditions, Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach

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