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 (8)

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

Cites Work

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