Nearly efficient likelihood ratio tests of the unit root hypothesis

DOI10.3982/ECTA10306MaRDI QIDQ2859535zbMATH OpenOpenAlexFDO

Authors Michael Jansson, Morten Ørregaard Nielsen

Publication date 8 November 2013

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta10306

zbMATH Keywords

efficiencylikelihood ratio testunit root hypothesis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cited in

(16)

• ADMISSIBLE AND NONADMISSIBLE TESTS IN UNIT-ROOT-LIKE SITUATIONS
• Marginal likelihood and unit roots
• Efficient tests for unit roots with prediction errors
• Fractionally differenced Gegenbauer processes with long memory: a review
• Ratio tests under limiting normality
• Likelihood ratio test for change in persistence
• Semiparametrically optimal cointegration test
• On the asymptotic distribution of the Dickey Fuller-GLS test statistic
• On bootstrap implementation of likelihood ratio test for a unit root
• Powerful unit root tests free of nuisance parameters
• A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors
• Improved likelihood ratio tests for cointegration rank in the VAR model
• A complete class of tests when the likelihood is locally asymptotically quadratic.
• Modified unit root tests with nuisance parameter free asymptotic distributions
• Interest rate pass-through: a nonlinear vector error-correction approach
• Testing for Unit Root Against Stationarity Using the Likelihood Ratio Test

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