The available information for invariant tests of a unit root

DOI10.1017/S0266466607070296zbMATH Open1237.62121MaRDI QIDQ2886963FDOQ2886963

Authors: Patrick Marsh 

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Defining the curvature of a statistical problem (with applications to second order efficiency)
• Asymptotic inference for nearly nonstationary AR(1) processes
• Limit theory for moderate deviations from a unit root
• Towards a unified asymptotic theory for autoregression
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• Robust tests for spherical symmetry and their application to least squares regression
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Trends versus Random Walks in Time Series Analysis
• New Tools for Understanding Spurious Regressions
• Integration Versus Trend Stationary in Time Series
• Empirical Limits for Time Series Econometric Models
• Locally robust tests for serial correlation in least squares regression
• The shortcoming of locally most powerful tests in curved exponential families

Cited In (12)

• Conditional Information in Projections of Gaussian Vectors
• On the inconsistency of the unrestricted estimator of the information matrix near a unit root
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
• 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
• THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
• Some properties of tests for parameters that can be arbitrarily close to being unidentified
• The role of information in nonstationary regression
• Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
• Testing for a unit root against ESTAR stationarity
• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Nontestability of equal weights spatial dependence

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