Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
From MaRDI portal
Publication:2859535
DOI10.3982/ECTA10306zbMath1274.62596OpenAlexW3126078292MaRDI QIDQ2859535
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)
Related Items
Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Modified unit root tests with nuisance parameter free asymptotic distributions ⋮ On the asymptotic distribution of the Dickey Fuller-GLS test statistic ⋮ Likelihood ratio test for change in persistence ⋮ Interest rate pass-through: a nonlinear vector error-correction approach ⋮ Improved likelihood ratio tests for cointegration rank in the VAR model ⋮ On bootstrap implementation of likelihood ratio test for a unit root ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ Ratio tests under limiting normality